Masaaki Fukasawa

13 papers Journal 13

Year	Rank	Type	Title / Venue / Authors
2025	J	`jnl`	Weak Error Rates for Numerical Schemes of Nonsingular Stochastic Volterra Equations with Application to Stochastic Volatility Models. SIAM J. Financial Math. Pierre Bras, Masaaki Fukasawa
2022	J	`jnl`	Short Communication: On the Weak Convergence Rate in the Discretization of Rough Volatility Models. SIAM J. Financial Math. Christian Bayer, Masaaki Fukasawa, Shonosuke Nakahara
2021	J	`jnl`	Limit distributions for the discretization error of stochastic Volterra equations. CoRR Masaaki Fukasawa, Takuto Ugai
2020	J	`jnl`	A New Discretization Scheme for One Dimensional Stochastic Differential Equations Using Time Change Method. CoRR Masaaki Fukasawa, Mitsumasa Ikeda
2019	J	`jnl`	Short-Term At-the-Money Asymptotics under Stochastic Volatility Models. SIAM J. Financial Math. Omar El Euch, Masaaki Fukasawa, Jim Gatheral, Mathieu Rosenbaum
2018	J	`jnl`	Equilibrium returns with transaction costs. Finance Stochastics Bruno Bouchard, Masaaki Fukasawa, Martin Herdegen, Johannes Muhle-Karbe
2018	J	`jnl`	Perfect hedging under endogenous permanent market impacts. Finance Stochastics Masaaki Fukasawa, Mitja Stadje
2018	J	`jnl`	The microstructural foundations of leverage effect and rough volatility. Finance Stochastics Omar El Euch, Masaaki Fukasawa, Mathieu Rosenbaum
2016	J	`jnl`	Asymptotic replication with modified volatility under small transaction costs. Finance Stochastics Jiatu Cai, Masaaki Fukasawa
2016	J	`jnl`	Optimal Discretization of Hedging Strategies with Directional Views. SIAM J. Financial Math. Jiatu Cai, Masaaki Fukasawa, Mathieu Rosenbaum, Peter Tankov
2014	J	`jnl`	Efficient discretization of stochastic integrals. Finance Stochastics Masaaki Fukasawa
2011	J	`jnl`	Asymptotic analysis for stochastic volatility: martingale expansion. Finance Stochastics Masaaki Fukasawa
2010	J	`jnl`	Central limit theorem for the realized volatility based on tick time sampling. Finance Stochastics Masaaki Fukasawa