Masaaki Fukasawa

Osaka University

1-1 Yamadaoka

Suita

Osaka, 565-0871

Japan

SCHOLARLY PAPERS

5

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21

Scholarly Papers (5)

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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 960 (51,916)
Citation 8

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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
École Polytechnique, Paris, Osaka University, CUNY Baruch College and Ecole Polytechnique, Palaiseau
Downloads 296 (218,734)
Citation 9

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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 247 (263,273)

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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 234 (277,532)
Citation 4

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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
Osaka University, Desma Eight, LLC and ZHAW School of Management and Law
Downloads 87 (619,772)

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