1 citations · 1 across the 9 of their papers we have counts for
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Fundamental Theorem of Discrete Asset Pricing
Masaaki Fukasawa
Motivated by discrete price quotes in continuous time, we seek a fundamental theorem based on no arbitrage rather than a condition on limiting trading opportunities. We consider a…
Loss-versus-rebalancing with external proportional transaction costs
Masaaki Fukasawa
We study liquidity provision in automated market makers when trading in the external market incurs proportional transaction costs. We consider both separately collected fees and fe…
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…