default author photo

Masaaki Fukasawa

The University of Osaka

1-1 Yamadaoka

Suita

Osaka, 565-0871

Japan

SCHOLARLY PAPERS

6

DOWNLOADS

2,107

TOTAL CITATIONS
Rank 48,561

SSRN RANKINGS

Top 48,561

in Total Papers Citations

22

Scholarly Papers (6)

Actions:
Email selected abstracts
1.

Weighted variance swaps hedge against Impermanent Loss

Number of pages: 24 Posted: 03 May 2022
Masaaki Fukasawa, Basile Maire and Marcus Wunsch
The University of Osaka, Desma Eight, LLC and ZHAW School of Management and Law
Downloads 1,012 (55,835)
Citation 8

Abstract:

Loading...

Digital currencies, impermanent loss, decentralized exchanges, weighted variance swaps

2.

Short-Term at-the-Money Asymptotics Under Stochastic Volatility Models

SIAM Journal on Financial Mathematics, Vol. 10, No. 2, 491-511, 2019
Number of pages: 20 Posted: 05 Feb 2018 Last Revised: 12 Jun 2019
Omar El Euch, Masaaki Fukasawa, Jim Gatheral and Mathieu Rosenbaum
École Polytechnique, Paris, The University of Osaka, CUNY Baruch College and Université PSL
Downloads 324 (235,935)
Citation 9

Abstract:

Loading...

3.

Equilibrium Returns with Transaction Costs

Number of pages: 27 Posted: 29 Jul 2017 Last Revised: 13 Mar 2018
Bruno Bouchard, Masaaki Fukasawa, Martin Herdegen and Johannes Muhle-Karbe
Paris Dauphine University - CEREMADE, The University of Osaka, University of Warwick - Department of Statistics and Imperial College London - Department of Mathematics
Downloads 273 (279,442)

Abstract:

Loading...

equilibrium, transaction costs, liquidity premium

4.

A Rough SABR Formula

Frontiers of Mathematical Finance, 2021
Number of pages: 18 Posted: 12 May 2021 Last Revised: 30 Jun 2021
Masaaki Fukasawa and Jim Gatheral
The University of Osaka and CUNY Baruch College
Downloads 268 (283,835)
Citation 5

Abstract:

Loading...

SABR, rough volatility, volatility surface

5.

Model-Free Hedging of Impermanent Loss in Geometric Mean Market Makers

Number of pages: 21 Posted: 04 Apr 2023
Masaaki Fukasawa, Basile Maire and Marcus Wunsch
The University of Osaka, Desma Eight, LLC and ZHAW School of Management and Law
Downloads 149 (500,001)

Abstract:

Loading...

digital currencies, automated market makers, Impermanent Loss, decentralized exchanges, divergence loss

6.

Continuous-Time Optimal Execution and Utility-Based Statistical Arbitrage in a Markovian Environment

Number of pages: 43 Posted: 20 Mar 2026
Masaaki Fukasawa, Masamitsu Ohnishi and Makoto Shimoshimizu
The University of Osaka, The University of Osaka - Graduate School of Economics and Tokyo University of Science - Department of Industrial Administration
Downloads 81 (852,604)

Abstract:

Loading...

Optimal execution, Markovian environment, Transient market impact, HJB equation, Matrix Riccati differential equation, Utility-based statistical arbitrage