14 citations · 30 across the 26 of their papers we have counts for
34 papers
Feeling the generalised rough SABR boundary
Masaaki Fukasawa, Antoine Jacquier, Mugad Oumgari
We provide an in-depth analysis of a generalised rough version of the SABR volatility model, widely used in the financial industry. We specifically focus on its behaviour at the or…
A Quasi Maximum Likelihood Estimation Method for Bergomi-Type Volatility Models
Masaaki Fukasawa, Haruki Tomita
We propose a quasi maximum likelihood estimation method for Bergomi-type stochastic volatility models with parametrized kernels, focusing on the estimation of the kernel parameters…
Robust Volatility Index Calculation with OTM Option-implied Probability
Masaaki Fukasawa, Shunta Murayama
In financial markets, accurately measuring the risk of future fluctuations in asset prices is of paramount importance. Studies such as Carr and Madan have shown that the expected v…
When to efficiently rebalance a portfolio
Masayuki Ando, Masaaki Fukasawa
A constant weight asset allocation is a popular investment strategy and is optimal under a suitable continuous model. We study the tracking error for the target continuous rebalanc…
Model-free Hedging of Impermanent Loss in Geometric Mean Market Makers
Masaaki Fukasawa, Basile Maire, Marcus Wunsch
We consider Geometric Mean Market Makers -- a special type of Decentralized Exchange -- with two types of users: liquidity takers and arbitrageurs. Liquidity takers trade at prices…
A partial rough path space for rough volatility
Masaaki Fukasawa, Ryoji Takano
We develop a variant of rough path theory tailor-made for analyzing a class of financial asset price models known as rough volatility models. As an application, we prove a pathwise…
On the weak convergence rate in the discretization of rough volatility models
Christian Bayer, Masaaki Fukasawa, Shonosuke Nakahara
We study the weak convergence rate in the discretization of rough volatility models. After showing a lower bound under a general model, where is the Hurst index of the vol…
On asymptotically arbitrage-free approximations of the implied volatility
Masaaki Fukasawa
Following-up Fukasawa and Gatheral (Frontiers of Mathematical Finance, 2022), we prove that the BBF formula, the SABR formula, and the rough SABR formula provide asymptotically arb…
Limit distributions for the discretization error of stochastic Volterra equations
Masaaki Fukasawa, Takuto Ugai
Our study aims to specify the asymptotic error distribution in the discretization of a stochastic Volterra equation with a fractional kernel. It is well-known that for a standard s…
A rough SABR formula
Masaaki Fukasawa, Jim Gatheral
Following an approach originally suggested by Balland in the context of the SABR model, we derive an ODE that is satisfied by normalized volatility smiles for short maturities unde…
Hedging under rough volatility
Masaaki Fukasawa, Blanka Horvath, Peter Tankov
In this chapter we first briefly review the existing approaches to hedging in rough volatility models. Next, we present a simple but general result which shows that in a one-factor…
Super-replication with transaction costs under model uncertainty for continuous processes
Huy N. Chau, Masaaki Fukasawa, Miklos Rasonyi
We formulate a superhedging theorem in the presence of transaction costs and model uncertainty. Asset prices are assumed continuous and uncertainty is modelled in a parametric sett…
Realized cumulants for martingales
Masaaki Fukasawa, Kazuki Matsushita
Generalizing the realized variance, the realized skewness (Neuberger, 2012) and the realized kurtosis (Bae and Lee, 2020), we construct realized cumulants with the so-called aggreg…
A New Discretization Scheme for One Dimensional Stochastic Differential Equations Using Time Change Method
Masaaki Fukasawa, Mitsumasa Ikeda
We propose a new numerical method for one dimensional stochastic differential equations (SDEs). The main idea of this method is based on a representation of a weak solution of a SD…
EM algorithm for stochastic hybrid systems
Masaaki Fukasawa
A stochastic hybrid system, also known as a switching diffusion, is a continuous-time Markov process with state space consisting of discrete and continuous parts. We consider param…
Volatility has to be rough
Masaaki Fukasawa
First, we give an asymptotic expansion of short-dated at-the-money implied volatility that refines the preceding works and proves in particular that non-rough volatility models are…
Is Volatility Rough ?
Masaaki Fukasawa, Tetsuya Takabatake, Rebecca Westphal
Rough volatility models are continuous time stochastic volatility models where the volatility process is driven by a fractional Brownian motion with the Hurst parameter smaller tha…
The asymptotic expansion of the regular discretization error of Itô integrals
Elisa Alòs, Masaaki Fukasawa
We study a Edgeworth-type refinement of the central limit theorem for the discretizacion error of Itô integrals. Towards this end, we introduce a new approach, based on the anticip…
Short-term at-the-money asymptotics under stochastic volatility models
Omar El Euch, Masaaki Fukasawa, Jim Gatheral +1
A small-time Edgeworth expansion of the density of an asset price is given under a general stochastic volatility model, from which asymptotic expansions of put option prices and at…
Equilibrium Returns with Transaction Costs
Bruno Bouchard, Masaaki Fukasawa, Martin Herdegen +1
We study how trading costs are reflected in equilibrium returns. To this end, we develop a tractable continuous-time risk-sharing model, where heterogeneous mean-variance investors…
Perfect hedging under endogenous permanent market impacts
Masaaki Fukasawa, Mitja Stadje
We model a nonlinear price curve quoted in a market as the utility indifference curve of a representative liquidity supplier. As the utility function we adopt a g-expectation. In c…
Asymptotically efficient estimators for self-similar stationary Gaussian noises under high frequency observations
Masaaki Fukasawa, Tetsuya Takabatake
This paper proposes feasible asymptotically efficient estimators for a certain class of Gaussian noises with self-similar and stationary properties, which includes the fractional G…
Local asymptotic normality property for fractional Gaussian noise under high-frequency observations
Alexandre Brouste, Masaaki Fukasawa
Local Asymptotic Normality (LAN) property for fractional Gaussian noise under high-frequency observations is proved with a non-diagonal rate matrix depending on the parameter to be…
Efficient discretisation of stochastic differential equations
Masaaki Fukasawa, Jan Obloj
The aim of this study is to find a generic method for generating a path of the solution of a given stochastic differential equation which is more efficient than the standard Euler-…