Masaaki Fukasawa

Osaka University

1-1 Yamadaoka

Suita

Osaka, 565-0871

Japan

SCHOLARLY PAPERS

5

DOWNLOADS

415

SSRN CITATIONS
Rank 41,151

SSRN RANKINGS

Top 41,151

in Total Papers Citations

11

CROSSREF CITATIONS

7

Scholarly Papers (5)

1.

Equilibrium Returns with Transaction Costs

Number of pages: 27 Posted: 29 Jul 2017 Last Revised: 13 Mar 2018
Université Paris Dauphine - CEREMADE, Osaka University, University of Warwick - Department of Statistics and Imperial College London - Department of Mathematics
Downloads 182 (210,672)

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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
Ecole Polytechnique, Paris, Osaka University, CUNY Baruch College and Ecole Polytechnique, Palaiseau
Downloads 166 (227,906)
Citation 5

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3.

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 67 (422,628)

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SABR, rough volatility, volatility surface

4.

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 (818,713)
Citation 1
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convex risk measure, good deal bound, Orlicz space, risk indifference price, fundamental theorem of asset pricing

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
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Citation 3
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implied volatility, no arbitrage bounds, variance swap, gamma swap