3 papers
q-fin.MF2025
Rough SABR Forward Market Model
Reo Adachi, Masaaki Fukasawa, Naoki Iida +4
This paper advances interest rate modeling in the post-LIBOR era by introducing rough stochastic volatility into the Forward Market Model (FMM). We establish a rigorous asymptotic…
cs.LO2023
On the Metric Temporal Logic for Continuous Stochastic Processes
Mitsumasa Ikeda, Yoriyuki Yamagata, Takayuki Kihara
In this paper, we prove measurability of event for which a general continuous-time stochastic process satisfies continuous-time Metric Temporal Logic (MTL) formula. Continuous-time…
math.PR2020
A New Discretization Scheme for One Dimensional Stochastic Differential Equations Using Time Change Method
Masaaki Fukasawa, Mitsumasa Ikeda
We propose a new numerical method for one dimensional stochastic differential equations (SDEs). The main idea of this method is based on a representation of a weak solution of a SD…