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Masaaki Fukasawa
Masaaki Fukasawa
在 sigmath.es.osaka-u.ac.jp 的电子邮件经过验证 - 首页
标题
引用次数
引用次数
年份
The microstructural foundations of leverage effect and rough volatility
O El Euch, M Fukasawa, M Rosenbaum
Finance and Stochastics 22, 241-280, 2018
1762018
Asymptotic analysis for stochastic volatility: martingale expansion
M Fukasawa
Finance and Stochastics 15, 635-654, 2011
1752011
Short-time at-the-money skew and rough fractional volatility
M Fukasawa
Quantitative Finance 17 (2), 189-198, 2017
1132017
Volatility has to be rough
M Fukasawa
Quantitative finance 21 (1), 1-8, 2021
1112021
The yuima project: A computational framework for simulation and inference of stochastic differential equations
A Brouste, M Fukasawa, H Hino, S Iacus, K Kamatani, Y Koike, H Masuda, ...
Journal of statistical software 57, 1-51, 2014
1052014
Is volatility rough?
M Fukasawa, T Takabatake, R Westphal
arXiv preprint arXiv:1905.04852, 2019
702019
Realized volatility with stochastic sampling
M Fukasawa
Stochastic processes and their Applications 120 (6), 829-852, 2010
672010
Equilibrium returns with transaction costs
B Bouchard, M Fukasawa, M Herdegen, J Muhle-Karbe
Finance and Stochastics 22, 569-601, 2018
492018
Short-term at-the-money asymptotics under stochastic volatility models
OE Euch, M Fukasawa, J Gatheral, M Rosenbaum
SIAM Journal on Financial Mathematics 10 (2), 491-511, 2019
482019
Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics
M Fukasawa, T Takabatake, R Westphal
Mathematical Finance 32 (4), 1086-1132, 2022
452022
Discretization error of stochastic integrals
M Fukasawa
412011
Local asymptotic normality property for fractional Gaussian noise under high-frequency observations
A Brouste, M Fukasawa
402018
The normalizing transformation of the implied volatility smile
M Fukasawa
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2012
392012
Central limit theorems for realized volatility under hitting times of an irregular grid
M Fukasawa, M Rosenbaum
Stochastic processes and their applications 122 (12), 3901-3920, 2012
372012
Discussion Paper Series 2011-05 (revised version of 2010-03)
M Fukasawa, I Ishida, N Maghrebi, K Oya, M Ubukata, K Yamazaki
International Journal of Theoretical and Applied Finance 14 (4), 433-463, 2011
362011
Central limit theorem for the realized volatility based on tick time sampling
M Fukasawa
Finance and Stochastics 14, 209-233, 2010
322010
Convex risk measures for good deal bounds
T Arai, M Fukasawa
Mathematical Finance 24 (3), 464-484, 2014
282014
Asymptotically efficient discrete hedging
M Fukasawa
Stochastic Analysis with Financial Applications: Hong Kong 2009, 331-346, 2011
262011
Asymptotically efficient estimators for self-similar stationary Gaussian noises under high frequency observations
M Fukasawa, T Takabatake
242019
A rough SABR formula
M Fukasawa, J Gatheral
arXiv preprint arXiv:2105.05359, 2021
222021
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