2 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…
math.PR2023
The dynamical model by an approximation of Laplacian
Reo Adachi
The dynamical equation is a singular SPDE and has important applications in physics. In this paper, we consider the equation by approximating the Laplacian instead of the n…