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q-fin.MF2026
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…
q-fin.MF2026
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…
q-fin.MF2026
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…