14 citations · 21 across the 8 of their papers we have counts for
14 papers
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…
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…