14 citations · 30 across the 26 of their papers we have counts for
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math.PR2015★ 5 cited
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-…
q-fin.MF2015★ 1 cited
Short-time at-the-money skew and rough fractional volatility
Masaaki Fukasawa
The Black-Scholes implied volatility skew at the money of SPX options is known to obey a power law with respect to the time-to-maturity. We construct a model of the underlying asse…