1 citations · 1 across the 9 of their papers we have counts for
10 papers
Yet another asymptotic formula for implied volatility
Masaaki Fukasawa
We derive a first-order representation of Black-Scholes implied variance in a continuous local martingale model. Total implied variance is the conditional expectation of the quadra…
Short-maturity skew stickiness ratio under local volatility
Masaaki Fukasawa
We prove that the skew stickiness ratio converges to two at short maturity under local volatility models. This appears to be the first rigorous proof of this limit for a general ti…
Error Distribution of the Local Linearization Method for Stochastic Differential Equations with Additive Brownian Noise
Masaaki Fukasawa, Mikio Hirokane, Kostas Kardaras
We prove a functional stable limit theorem for the discretization error process of a local linearization scheme for stochastic differential equations with additive Brownian noise.…
Martingale expansion for stochastic volatility
Masaaki Fukasawa
The martingale expansion provides a refined approximation to the marginal distributions of martingales beyond the normal approximation implied by the martingale central limit theor…
On the Skew Stickiness Ratio
Masaaki Fukasawa
The skew stickiness ratio is a statistic that captures the joint dynamics of an asset price and its volatility. We derive a representation formula for this quantity using the Itô-W…
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…