Masaaki Fukasawa

Osaka University

1-1 Yamadaoka

Suita

Osaka, 565-0871

Japan

SCHOLARLY PAPERS

6

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876

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11

CROSSREF CITATIONS

7

Scholarly Papers (6)

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1.

Weighted variance swaps hedge against Impermanent Loss

Number of pages: 24 Posted: 03 May 2022
Masaaki Fukasawa, Basile Maire and Marcus Wunsch
Osaka University, Desma Eight, LLC and ZHAW School of Management and Law
Downloads 331 (129,222)

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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
Ecole Polytechnique, Paris, Osaka University, CUNY Baruch College and Ecole Polytechnique, Palaiseau
Downloads 198 (213,677)
Citation 5

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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
Université Paris Dauphine - CEREMADE, Osaka University, University of Warwick - Department of Statistics and Imperial College London - Department of Mathematics
Downloads 193 (218,646)

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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
Osaka University and CUNY Baruch College
Downloads 123 (316,726)

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SABR, rough volatility, volatility surface

5.

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
Downloads 30 (630,591)
Citation 3

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implied volatility, no arbitrage bounds, variance swap, gamma swap

6.

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 1 (892,835)
Citation 1

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convex risk measure, good deal bound, Orlicz space, risk indifference price, fundamental theorem of asset pricing