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Fukasawa Masaaki
深澤　正彰
Fukasawa Masaaki
深澤　正彰
Institutional repository
Graduate School of Engineering Science　Department of Systems Innovation, Professor

keyword Mathematical Statistics，Stochastic Analysis，Mathematical Finance

Institutional repository

Research History 5

  1. 2016/04 - Present
    The University of Osaka　Graduate School of Engineering Science　Professor

  2. 2016/04 - 2018/03
    Tokyo Metropolitan University　Graduate School of Social Science　Adjunct Professor

  3. 2011/06 - 2016/03
    The University of Osaka　Graduate School of Science, Department of Mathematics　Associate Professor

  4. 2010/12 - 2011/05
    ETH Zurich

  5. 2007/12 - 2010/12
    The University of Osaka　Center for the Study of Finance and Insurance　Assistant Professor

Education 2

  1. The University of Tokyo　Graduate School of Mathematical Sciences

    2004/04 - 2007/12

  2. The University of Tokyo　Department of Mathematics

    2002/04 - 2004/03

Committee Memberships 8

  1. Finance and Stochastics　Co-Editor

    2018/07 - Present

  2. Osaka Journal of Mathematics　Associate Editor

    2017/10 - Present

  3. Asymptotic Analysis　Editorial Board

    2016/12 - Present

  4. Quantitative Finance　Managing Editor

    2013/01 - Present

  5. Bachelier Finance Society　Council　Academic society

    2020/01 - 2023/12

  6. SIAM Journal of Financial Mathematics　Associate Editor

    2017/01 - 2019/12

  7. Associate Editor　Japan Journal of Industrial and Applied Mathematics

    2014/04 - 2018/12

  8. Finance and Stochastics　Associate Editor

    2011/01 - 2018/06

Research Areas 2

  1. Natural sciences / Applied mathematics and statistics /

  2. Natural sciences / Basic mathematics /

Awards 1

  1. 日本数学会賞建部賢弘賞奨励賞

    2010/09

Papers 52

  1. Liquidity provision of utility indifference type in decentralized exchanges

    Masaaki Fukasawa, Basile Maire, Marcus Wunsch

    Digital Finance　Vol. 7　p. 255-273　2025/05/09　Research paper (scientific journal)

    Publisher: Springer Science and Business Media LLC

  2. Weak Error Rates for Numerical Schemes of Nonsingular Stochastic Volterra Equations with Application to Stochastic Volatility Models

    Pierre Bras, Masaaki Fukasawa

    SIAM Journal on Financial Mathematics　Vol. 16　No. 1　p. 1-28　2025/01

  3. Model-Free Hedging of Impermanent Loss in Geometric Mean Market Makers with Proportional Transaction Fees

    Masaaki Fukasawa, Basile Maire, Marcus Wunsch

    Applied Mathematical Finance　Vol. 31　No. 2　p. 108-129　2024/10

  4. Short-time asymptotic behavior of the Brox diffusion

    Masaaki Fukasawa, Kota Iida

    Electronic Communications in Probability　Vol. 29　p. 1-12　2024/09

  5. When to efficiently rebalance a portfolio

    Masayuki Ando, Masaaki Fukasawa

    Quantitative Finance　Vol. 24　No. 9　p. 1235-1245　2024/07

  6. Malliavin calculus techniques for local asymptotic mixed normality and their application to hypoelliptic diffusions

    Masaaki Fukasawa, Teppei Ogihara

    Bernoulli　Vol. 30　No. 2　p. 983-1006　2024/05/01　Research paper (scientific journal)

    Publisher: Bernoulli Society for Mathematical Statistics and Probability

  7. A partial rough path space for rough volatility

    Masaaki Fukasawa, Ryoji Takano

    Electronic Journal of Probability　Vol. 29　p. 1-28　2024/02/13　Research paper (scientific journal)

    Publisher: Institute of Mathematical Statistics

  8. Limit distributions for the discretization error of stochastic Volterra equations with fractional kernel

    Masaaki Fukasawa, Takuto Ugai

    The Annals of Applied Probability　Vol. 33　No. 6B　p. 5071-5110　2023/12/01　Research paper (scientific journal)

    Publisher: Institute of Mathematical Statistics

  9. Wiener Spiral for Volatility Modeling

    M. Fukasawa

    Theory of Probability & Its Applications　Vol. 68　No. 3　p. 481-500　2023/11/07　Research paper (scientific journal)

    Publisher: Society for Industrial & Applied Mathematics (SIAM)

  10. Weighted variance swaps hedge against impermanent loss

    Masaaki Fukasawa, Basile Maire, Marcus Wunsch

    Quantitative Finance　Vol. 23　No. 6　p. 901-911　2023/05/26　Research paper (scientific journal)

    Publisher: Informa UK Limited

  11. On asymptotically arbitrage-free approximations of the implied volatility

    Masaaki Fukasawa

    Frontiers of Mathematical Finance　Vol. 1　No. 4　p. 525-537　2022/10　Research paper (scientific journal)

    Publisher: American Institute of Mathematical Sciences (AIMS)

  12. Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics

    Masaaki Fukasawa, Tetsuya Takabatake, Rebecca Westphal

    Mathematical Finance　Vol. 32　No. 4　p. 1086-1132　2022/08/23　Research paper (scientific journal)

    Publisher: Wiley

  13. Super‐replication with transaction costs under model uncertainty for continuous processes

    Huy N. Chau, Masaaki Fukasawa, Miklós Rásonyi

    Mathematical Finance　Vol. 32　No. 4　p. 1066-1085　2022/06/23　Research paper (scientific journal)

    Publisher: Wiley

  14. On the Weak Convergence Rate in the Discretization of Rough Volatility Models

    Christian Bayer, Masaaki Fukasawa, Shonosuke Nakahara

    SIAM Journal of Financial Mathematics　Vol. 13　No. 2　p. SC66-SC73　2022/06　Research paper (scientific journal)

  15. A rough SABR formula

    Masaaki Fukasawa, Jim Gatheral

    Frontiers of Mathematical Finance　Vol. 1　No. 1　p. 81-97　2022　Research paper (scientific journal)

    Publisher: American Institute of Mathematical Sciences (AIMS)

  16. The Riemann–Liouville field and its GMC as H→0, and skew flattening for the rough Bergomi model

    Martin Forde, Masaaki Fukasawa, Stefan Gerhold, Benjamin Smith

    Statistics & Probability Letters　p. 109265-109265　2021/10　Research paper (scientific journal)

    Publisher: Elsevier BV

  17. A new discretization scheme for one dimensional stochastic differential equations using time change method

    Masaaki Fukasawa, Mitsumasa Ikeda

    Electronic Communications in Probability　Vol. 26　No. none　2021/08/26　Research paper (scientific journal)

    Publisher: Institute of Mathematical Statistics

  18. DISCRETE-TIME OPTIMAL EXECUTION UNDER A GENERALIZED PRICE IMPACT MODEL WITH MARKOVIAN EXOGENOUS ORDERS

    MASAAKI FUKASAWA, MASAMITSU OHNISHI, MAKOTO SHIMOSHIMIZU

    International Journal of Theoretical and Applied Finance　Vol. 24　No. 05　p. 2150025-2150025　2021/08　Research paper (scientific journal)

    Publisher: World Scientific Pub Co Pte Lt

  19. Refinement by reducing and reusing random numbers of the Hybrid scheme for Brownian semistationary processes

    Masaaki Fukasawa, Asuto Hirano

    Quantitative Finance　Vol. 21　No. 7　p. 1127-1146　2021/07/03　Research paper (scientific journal)

    Publisher: Informa UK Limited

  20. ON OPTIMAL THRESHOLDS FOR PAIRS TRADING IN A ONE-DIMENSIONAL DIFFUSION MODEL

    MASAAKI FUKASAWA, HITOMI MAEDA, JUN SEKINE

    The ANZIAM Journal　Vol. 63　No. 2　p. 104-122　2021/04　Research paper (scientific journal)

    Publisher: Cambridge University Press (CUP)

  21. EM algorithm for stochastic hybrid systems

    Masaaki Fukasawa

    Statistical Inference for Stochastic Processes　Vol. 24　No. 1　p. 223-239　2021/04　Research paper (scientific journal)

    Publisher: Springer Science and Business Media LLC

  22. Realized cumulants for martingales

    Masaaki Fukasawa, Kazuki Matsushita

    Electronic Communications in Probability　Vol. 26　No. none　2021/03/23　Research paper (scientific journal)

    Publisher: Institute of Mathematical Statistics

  23. Volatility has to be rough

    Masaaki Fukasawa

    Quantitative Finance　Vol. 21　No. 1　p. 1-8　2021/01/02　Research paper (scientific journal)

    Publisher: Informa UK Limited

  24. The asymptotic expansion of the regular discretization error of Itô integrals

    Elisa Alòs, Masaaki Fukasawa

    Mathematical Finance　Vol. 31　No. 1　p. 323-365　2021/01　Research paper (scientific journal)

    Publisher: Wiley

  25. Efficient discretisation of stochastic differential equations

    Masaaki Fukasawa, Jan Obłój

    Stochastics　Vol. 92　No. 6　p. 833-851　2020/08/17　Research paper (scientific journal)

    Publisher: Informa UK Limited

  26. Asymptotically efficient estimators for self-similar stationary Gaussian noises under high frequency observations

    Masaaki Fukasawa, Tetsuya Takabatake

    BERNOULLI　Vol. 25　No. 3　p. 1870-1900　2019/06　Research paper (scientific journal)

  27. Short-Term At-the-Money Asymptotics under Stochastic Volatility Models

    Omar El Euch, Masaaki Fukasawa, Jim Gatheral, Mathieu Rosenbaum

    SIAM Journal of Financial Mathematics　Vol. 10　No. 2　p. 491-511　2019/04　Research paper (scientific journal)

  28. LOCAL ASYMPTOTIC NORMALITY PROPERTY FOR FRACTIONAL GAUSSIAN NOISE UNDER HIGH-FREQUENCY OBSERVATIONS

    Brouste Alexandre, Fukasawa Masaaki

    ANNALS OF STATISTICS　Vol. 46　No. 5　p. 2045-2061　2018/10　Research paper (scientific journal)

  29. Equilibrium returns with transaction costs

    Bruno Bouchard, Masaaki Fukasawa, Martin Herdegen, Johannes Muhle-Karbe

    Finance and Stochastics　Vol. 22　No. 3　p. 569-601　2018/07/01　Research paper (scientific journal)

  30. Perfect hedging under endogenous permanent market impacts

    Masaaki Fukasawa, Mitja Stadje

    Finance and Stochastics　Vol. 22　No. 2　p. 417-442　2018/04/01　Research paper (scientific journal)

  31. The microstructural foundations of leverage effect and rough volatility

    Omar El Euch, Masaaki Fukasawa, Mathieu Rosenbaum

    Finance and Stochastics　Vol. 22　No. 2　p. 241-280　2018/04/01　Research paper (scientific journal)

    Publisher: Springer Verlag

  32. Whittle Estimation for High-frequency Data

    Masaaki Fukasawa

    Proceedings of the Institute of Statistical Mathematics　Vol. 65　No. 1　p. 71-85　2017/06　Research paper (scientific journal)

  33. Short-time at-the-money skew and rough fractional volatility

    Masaaki Fukasawa

    QUANTITATIVE FINANCE　Vol. 17　No. 2　p. 189-198　2017/02　Research paper (scientific journal)

  34. Asymptotic replication with modified volatility under small transaction costs

    Jiatu Cai, Masaaki Fukasawa

    FINANCE AND STOCHASTICS　Vol. 20　No. 2　p. 381-431　2016/04　Research paper (scientific journal)

  35. Optimal Discretization of Hedging Strategies with Directional Views

    Jiatu Cai, Masaaki Fukasawa, Mathieu Rosenbaum, Peter Tankov

    SIAM JOURNAL ON FINANCIAL MATHEMATICS　Vol. 7　No. 1　p. 34-69　2016　Research paper (scientific journal)

  36. CONVEX RISK MEASURES FOR GOOD DEAL BOUNDS

    Takuji Arai, Masaaki Fukasawa

    MATHEMATICAL FINANCE　Vol. 24　No. 3　p. 464-484　2014/07　Research paper (scientific journal)

  37. The YUIMA Project: A Computational Framework for Simulation and Inference of Stochastic Differential Equations

    Alexandre Brouste, Masaaki Fukasawa, Hideitsu Hino, Stefano M. Iacus, Kengo Kamatani, Yuta Koike, Hiroki Masuda, Ryosuke Nomura, Teppei Ogihara, Yasutaka Shimuzu, Masayuki Uchida, Nakahiro Yoshida

    JOURNAL OF STATISTICAL SOFTWARE　Vol. 57　No. 4　p. 1-51　2014/03　Research paper (scientific journal)

  38. Volatility derivatives and model-free implied leverage

    Masaaki Fukasawa

    International Journal of Theoretical and Applied Finance　Vol. 17　No. 1　p. 1450002-1450002　2014　Research paper (scientific journal)

    Publisher: World Scientific Publishing Co. Pte Ltd

  39. Efficient discretization of stochastic integrals

    Masaaki Fukasawa

    FINANCE AND STOCHASTICS　Vol. 18　No. 1　p. 175-208　2014/01　Research paper (scientific journal)

  40. Limit theorems for random walks under irregular conductance

    Masaaki Fukasawa

    PROCEEDINGS OF THE JAPAN ACADEMY SERIES A-MATHEMATICAL SCIENCES　Vol. 89　No. 8　p. 87-91　2013/10　Research paper (scientific journal)

  41. Central limit theorems for realized volatility under hitting times of an irregular grid

    Masaaki Fukasawa, Mathieu Rosenbaum

    STOCHASTIC PROCESSES AND THEIR APPLICATIONS　Vol. 122　No. 12　p. 3901-3920　2012/12　Research paper (scientific journal)

  42. THE NORMALIZING TRANSFORMATION OF THE IMPLIED VOLATILITY SMILE

    Masaaki Fukasawa

    MATHEMATICAL FINANCE　Vol. 22　No. 4　p. 753-762　2012/10　Research paper (scientific journal)

  43. Conservative Delta Hedging under Transaction Costs

    Masaaki Fukasawa

    RECENT ADVANCES IN FINANCIAL ENGINEERING 2011　p. 55-72　2012　Research paper (international conference proceedings)

  44. Asymptotic analysis for stochastic volatility: martingale expansion

    Masaaki Fukasawa

    FINANCE AND STOCHASTICS　Vol. 15　No. 4　p. 635-654　2011/12　Research paper (scientific journal)

  45. Discretization error of stochastic integrals

    Masaaki Fukasawa

    THE ANNALS OF APPLIED PROBABILITY　Vol. 21　No. 4　p. 1436-1465　2011/08　Research paper (scientific journal)

  46. MODEL-FREE IMPLIED VOLATILITY: FROM SURFACE TO INDEX

    M. FUKASAWA, I. ISHIDA, N. MAGHREBI, K. OYA, M. UBUKATA, K. YAMAZAKI

    International Journal of Theoretical and Applied Finance　Vol. 14　No. 04　p. 433-463　2011/06　Research paper (scientific journal)

    Publisher: World Scientific Pub Co Pte Lt

  47. Asymptotic analysis for stochastic volatility: Edgeworth expansion

    Masaaki Fukasawa

    ELECTRONIC JOURNAL OF PROBABILITY　Vol. 16　p. 764-791　2011/04　Research paper (scientific journal)

  48. Asymptotically Efficient Discrete Hedging

    Masaaki Fukasawa

    STOCHASTIC ANALYSIS WITH FINANCIAL APPLICATIONS, HONG KONG 2009　Vol. 65　p. 331-346　2011　Research paper (international conference proceedings)

  49. Realized volatility with stochastic sampling

    Masaaki Fukasawa

    STOCHASTIC PROCESSES AND THEIR APPLICATIONS　Vol. 120　No. 6　p. 829-852　2010/06　Research paper (scientific journal)

  50. Central limit theorem for the realized volatility based on tick time sampling

    Masaaki Fukasawa

    FINANCE AND STOCHASTICS　Vol. 14　No. 2　p. 209-233　2010/04　Research paper (scientific journal)

  51. On Asymptotic Distribution of Realized Volatility

    Vol. 57　No. 1　p. 3-16　2009/06

    Publisher:

  52. Edgeworth expansion for ergodic diffusions

    Masaaki Fukasawa

    PROBABILITY THEORY AND RELATED FIELDS　Vol. 142　No. 1-2　p. 1-20　2008/09　Research paper (scientific journal)

Misc. 4

  1. Optimal execution under a generalized price impact model with Markovian exogenous orders in a continuous-time setting

    Masaaki FUKASAWA, Masamitsu OHNISHI, Makoto SHIMOSHIMIZU

    数理解析研究所講究録　No. 2207　p. 1-22　2021/12

  2. インプライド・ボラティリティの数理

    深澤正彰

    先物・オプションレポート　2019/12

  3. ボラティリティ指数の理論

    深澤正彰

    先物・オプションレポート　2019/11

  4. 中心極限定理とファイナンス (特集 中心極限定理から広がる確率論)

    深澤 正彰

    数学セミナー　Vol. 55　No. 7　p. 22-27　2016/07

    Publisher: 日本評論社

Publications 1

  1. Rough Volatility

    Christian Bayer, Peter K. Friz, Masaaki Fukasawa, Jim Gatheral, Antoine Jacquier, Mathieu Rosenbaum

    2023/12

    ISBN: 9781611977776

Presentations 42

  1. Liquidity provision of utility indifference type in decentralized exchanges

    Masaaki Fukasawa

    Winter Workshop on Operations Research, Finance and Mathematics, 2025 (Otaru)　2025/02/22

  2. Volatility has to be rough

    Masaaki Fukasawa

    New Trends in Rough Path Analysis　2025/02/14

  3. When to efficiently rebalance a portfolio

    Masaaki Fukasawa

    Dirichlet forms and related topics (Osaka)　2024/08/23

  4. Model-free hedging of impermanent loss in geometric mean market makers

    Masaaki Fukasawa

    The 8th Asian Quantitative Finance Conference (Taipei)　2024/08/09

  5. Realized cumulants for martingales

    Masaaki Fukasawa

    30th birthday of the Laboratoire Manceau de Mathématiques : Probability - Statistics- Risk (Le Mans)　2024/05/21

  6. Backward stochastic difference equations on lattices with application to market equilibrium analysis

    Masaaki Fukasawa

    Winter Workshop in Finance (Otaru)　2024/02/29

  7. ラフ・ボラティリティ研究の概要

    深澤 正彰

    東京ファイナンスフォーラム (東京)　2024/02/02

  8. Limit distributions for the discretization error of stochastic Volterra equations with fractional kernel

    Masaaki Fukasawa

    Workshop on Stochastics, Memory and Roughness 2024 (Oslo)　2024/01/18

  9. フィルター付き確率空間におけるキュムラント再帰公式とその応用

    深澤 正彰

    確率解析とその周辺 (熊本)　2023/12/15

  10. On the term structure of the leverage effect

    Masaaki Fukasawa

    Volatility conference 2023 (Singapore)　2023/06/20

  11. Model-free Hedging of Impermanent Loss in Geometric Mean Market Makers

    Masaaki Fukasawa

    Conference in honour of Martin Schweizer's 60th birthday (Zurich)　2023/06/15

  12. A partial rough path space for rough volatility

    Masaaki Fukasawa

    Volatility is rough (Isles of Skye)　2023/05/25

  13. When to efficiently rebalance a portfolio

    Masaaki Fukasawa

    Berlin Probability Colloquium (Berlin)　2023/04/26

  14. When to efficiently rebalance a portfolio

    Masaaki Fukasawa

    The Bachelier seminar (Paris)　2023/04/21

  15. When to efficiently rebalance a portfolio

    Masaaki Fukasawa

    Conference in honour of Michael Dempster's 85th birthday (Cambridge)　2023/04/15

  16. A multivariate cumulant recursion formula with application to Hawkes processes

    Masaaki Fukasawa

    Mathematics of Risk 2022 (Creswick)　2022/10/31

  17. Limit distributions for the discretization error of stochastic Volterra equations with fractional kernel

    Masaaki Fukasawa

    Workshop on Stochastic Control and Quantitative Finance (Jerusalem)　2022/09/14

  18. A partial rough path space for rough volatility

    Masaaki Fukasawa

    DataSig Seminar (Oxford, online)　2022/06/21

  19. On asymptotically arbitrage-free approximations of the implied volatility

    Masaaki Fukasawa

    The 11th World Congress of the Bachelier Finance Society (Hong Kong, online)　2022/06/17

  20. A limit theorem for quadratic variations of stable processes with index tending to 2

    Masaaki Fukasawa

    Intrinsic Time in Finance (Konstanz)　2022/05/06

  21. On asymptotically arbitrage-free approximations of the implied volatility

    Masaaki Fukasawa

    LMU Spring Workshop in Stochastics and Finance (Munich)　2022/05/05

  22. Realized cumulants for martingales

    Masaaki Fukasawa

    Financial Mathematics Global Seminar (Moskow, online)　2021/11/13

  23. Realized cumulants

    Masaaki Fukasawa

    Hong Kong - Singapore joint seminar in Financial Mathematics/Engineering (online)　2021/09/29

  24. A rough SABR formula

    2021/08/04

  25. A rough SABR formula

    Masaaki Fukasawa

    Workshop New Challenges in Quantitative Finance (Barcelona, online)　2021/07/14

  26. Consistent estimation for fractional stochastic volatility model under high-frequency asymptotics

    Masaaki Fukasawa

    LEE KONG CHIAN PROFESSORSHIP: ONLINE WORKSHOP AT SINGAPORE MANAGEMENT UNIVERSITY　2021/06/07

  27. Volatility has to be rough

    Masaaki Fukasawa

    Warwick Stochastic Finance seminars (Warwick, online)　2021/05/07

  28. Volatility has to be rough

    Masaaki Fukasawa

    Thalesian seminar (London, online)　2021/04/07

  29. Realized cumulants for martingales

    Masaaki Fukasawa

    Cumulants in Stochastic Analysis (Berlin, online)　2021/02/24

  30. The Edgeworth Expansion for Continuous Martingale Marginals

    Masaaki Fukasawa

    QMF 2019 (Sydney)　2019/12/18

  31. 3R Hybrid scheme for Brownian semistationary processes

    Masaaki Fukasawa

    Dynamics, Equations and Applications (Krakow)　2019/09/19

  32. Is Volatility Rough ?

    Masaaki Fukasawa

    The 7th Asian Quantitative Finance Conference (Hanoi)　2019/07/02

  33. Hedging under small transaction costs

    Masaaki Fukasawa

    Innovative Research in Mathematical Finance (Yuri Kabanov's 70th anniversary, Luminy)　2018/09/07

  34. The asymptotic expansion of the regular discretization error of Itô integrals

    Masaaki Fukasawa

    Advanced Methods in Mathematical Finance (Angers)　2018/08/28

  35. Hedging and Calibration for Log-normal Rough Volatility Models

    Masaaki Fukasawa

    10th World Congress of The Bachelier Finance Society (Dublin)　2018/07/20

  36. Short-term at-the-money asymptotics under stochastic volatility models

    Masaaki Fukasawa

    9th International Workshop on Applied Probability (Budapest)　2018/06/18

  37. Hedging and calibration for log-normal rough volatility models

    Masaaki Fukasawa

    Jim Gatheral's 60th Birthday Conference (New York)　2017/10/14

  38. High frequency asymptotic statistics for rough volatility models

    Masaaki Fukasawa

    SIAM MMF 2017 (London)　2017/08/31

  39. Rough volatility and related topics

    Masaaki Fukasawa

    The Third International Conference on Engineering and Computational Mathematics (Hong Kong)　2017/06/02

  40. Short-term at-the-money asymptotics under stochastic volatility models

    Masaaki Fukasawa

    Advances in Financial Mathematics (Paris)　2017/01/10

  41. Volatility derivatives and model-free implied leverage

    Masaaki Fukasawa

    International Conference on Monte Carlo techniques (Paris)　2016/07/05

  42. Perfect Hedging under endogenous permanent market impacts

    Masaaki Fukasawa

    At the Frontiers of Quantitative Finance (Edinburgh)　2016/06/30

Institutional Repository 5

Content Published in the University of Osaka Institutional Repository (OUKA)

  1. Liquidity provision of utility indifference type in decentralized exchanges

    Fukasawa Masaaki, Maire Basile, Wunsch Marcus

    Digital Finance　Vol. 7　p. 255-273　2025/05/09

  2. Model-Free Hedging of Impermanent Loss in Geometric Mean Market Makers with Proportional Transaction Fees

    Fukasawa Masaaki, Maire Basile, Wunsch Marcus

    Applied Mathematical Finance　Vol. 31　No. 2　p. 108-129　2025/02/05

  3. Weak Error Rates for Numerical Schemes of Nonsingular Stochastic Volterra Equations with Application to Stochastic Volatility Models

    Bras Pierre, Fukasawa Masaaki

    SIAM Journal on Financial Mathematics　Vol. 16　No. 1　p. 1-28　2025/01/08

  4. When to efficiently rebalance a portfolio

    Ando Masayuki, Fukasawa Masaaki

    Quantitative Finance　Vol. 24　No. 9　p. 1235-1245　2024/07/08

  5. Volatility Derivatives and Model-free Implied Leverage

    Fukasawa Masaaki

    Vol. 17　No. 1　2014/02