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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…
math.PR2025
Limit distribution of errors in discretization of stochastic Volterra equations with multidimensional kernel
Masaaki Fukasawa, Minato Hojo
This paper investigates the limit distribution of discretization errors in stochastic Volterra equations (SVEs) with general multidimensional kernel structures. While prior studies…
q-fin.TR2025★ 1 cited
Liquidity provision of utility indifference type in decentralized exchanges
Masaaki Fukasawa, Basile Maire, Marcus Wunsch
We present a mathematical formulation of liquidity provision in decentralized exchanges. We focus on constant function market makers of utility indifference type, which include con…