Masaaki Fukasawa

Osaka University

1-1 Yamadaoka

Suita

Osaka, 565-0871

Japan

SCHOLARLY PAPERS

5

DOWNLOADS

325

SSRN CITATIONS

4

CROSSREF CITATIONS

6

Scholarly Papers (5)

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1.

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
Université Paris Dauphine - CEREMADE, Osaka University, University of Warwick - Department of Statistics and Imperial College London - Department of Mathematics
Downloads 180 (186,403)

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equilibrium, transaction costs, liquidity premium

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
Ecole Polytechnique, Paris, Osaka University, CUNY Baruch College and Ecole Polytechnique, Palaiseau
Downloads 145 (223,801)
Citation 2

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3.

Convex Risk Measures for Good Deal Bounds

Mathematical Finance, Vol. 24, Issue 3, pp. 464-484, 2014
Number of pages: 21 Posted: 11 Jun 2014
Takuji Arai and Masaaki Fukasawa
Keio University - Faculty of Economics and Osaka University
Downloads 0 (738,802)
Citation 1
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convex risk measure, good deal bound, Orlicz space, risk indifference price, fundamental theorem of asset pricing

4.

The Normalizing Transformation of the Implied Volatility Smile

Mathematical Finance, Vol. 22, Issue 4, pp. 753-762, 2012
Number of pages: 10 Posted: 23 Aug 2012
Masaaki Fukasawa
Osaka University
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Citation 2
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implied volatility, no arbitrage bounds, variance swap, gamma swap

5.

Discrete-time optimal execution under a generalized price impact model with Markovian exogenous orders

Number of pages: 28
Masaaki Fukasawa, Masamitsu Ohnishi and Makoto Shimoshimizu
Osaka University, Osaka University - Graduate School of Economics and Osaka University - Graduate School of Economics
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Market impact; Markovian exogenous orders; Dynamic programming; Backward induction; Optimal execution; Statistical arbitrage