Equilibrium returns with transaction costs.
- Published in:
- Finance & Stochastics, 2018, v. 22, n. 3, p. 569, doi. 10.1007/s00780-018-0366-6
- By:
- Publication type:
- Article
Works by Fukasawa, Masaaki
Results: 25
1
2
The microstructural foundations of leverage effect and rough volatility.
- Published in:
- Finance & Stochastics, 2018, v. 22, n. 2, p. 241, doi. 10.1007/s00780-018-0360-z
- By:
- Publication type:
- Article
3
Perfect hedging under endogenous permanent market impacts.
- Published in:
- Finance & Stochastics, 2018, v. 22, n. 2, p. 417, doi. 10.1007/s00780-017-0352-4
- By:
- Publication type:
- Article
4
Asymptotic replication with modified volatility under small transaction costs.
- Published in:
- Finance & Stochastics, 2016, v. 20, n. 2, p. 381, doi. 10.1007/s00780-016-0294-2
- By:
- Publication type:
- Article
5
Efficient discretization of stochastic integrals.
- Published in:
- Finance & Stochastics, 2014, v. 18, n. 1, p. 175, doi. 10.1007/s00780-013-0215-6
- By:
- Publication type:
- Article
6
Asymptotic analysis for stochastic volatility: martingale expansion.
- Published in:
- Finance & Stochastics, 2011, v. 15, n. 4, p. 635, doi. 10.1007/s00780-010-0136-6
- By:
- Publication type:
- Article
7
Central limit theorem for the realized volatility based on tick time sampling.
- Published in:
- Finance & Stochastics, 2010, v. 14, n. 2, p. 209, doi. 10.1007/s00780-008-0087-3
- By:
- Publication type:
- Article
8
Efficient discretisation of stochastic differential equations.
- Published in:
- Stochastics: An International Journal of Probability & Stochastic Processes, 2020, v. 92, n. 6, p. 833, doi. 10.1080/17442508.2019.1666131
- By:
- Publication type:
- Article
9
A ROUGH SABR FORMULA.
- Published in:
- Frontiers of Mathematical Finance, 2022, v. 1, n. 1, p. 81, doi. 10.3934/fmf.2021003
- By:
- Publication type:
- Article
10
When to efficiently rebalance a portfolio.
- Published in:
- Quantitative Finance, 2024, v. 24, n. 9, p. 1235, doi. 10.1080/14697688.2024.2371479
- By:
- Publication type:
- Article
11
Weighted variance swaps hedge against impermanent loss.
- Published in:
- Quantitative Finance, 2023, v. 23, n. 6, p. 901, doi. 10.1080/14697688.2023.2202708
- By:
- Publication type:
- Article
12
Refinement by reducing and reusing random numbers of the Hybrid scheme for Brownian semistationary processes.
- Published in:
- Quantitative Finance, 2021, v. 21, n. 7, p. 1127, doi. 10.1080/14697688.2020.1866209
- By:
- Publication type:
- Article
13
Volatility has to be rough.
- Published in:
- Quantitative Finance, 2021, v. 21, n. 1, p. 1, doi. 10.1080/14697688.2020.1825781
- By:
- Publication type:
- Article
14
Short-time at-the-money skew and rough fractional volatility.
- Published in:
- Quantitative Finance, 2017, v. 17, n. 2, p. 189, doi. 10.1080/14697688.2016.1197410
- By:
- Publication type:
- Article
15
Model-Free Hedging of Impermanent Loss in Geometric Mean Market Makers with Proportional Transaction Fees.
- Published in:
- Applied Mathematical Finance, 2024, v. 31, n. 2, p. 108, doi. 10.1080/1350486X.2024.2404058
- By:
- Publication type:
- Article
16
ON OPTIMAL THRESHOLDS FOR PAIRS TRADING IN A ONE-DIMENSIONAL DIFFUSION MODEL.
- Published in:
- ANZIAM Journal, 2021, v. 63, n. 2, p. 104, doi. 10.1017/S1446181121000298
- By:
- Publication type:
- Article
17
DISCRETE-TIME OPTIMAL EXECUTION UNDER A GENERALIZED PRICE IMPACT MODEL WITH MARKOVIAN EXOGENOUS ORDERS.
- Published in:
- International Journal of Theoretical & Applied Finance, 2021, v. 24, n. 05, p. 1, doi. 10.1142/S0219024921500254
- By:
- Publication type:
- Article
18
VOLATILITY DERIVATIVES AND MODEL-FREE IMPLIED LEVERAGE.
- Published in:
- International Journal of Theoretical & Applied Finance, 2014, v. 17, n. 1, p. 1, doi. 10.1142/S0219024914500022
- By:
- Publication type:
- Article
19
Edgeworth expansion for ergodic diffusions.
- Published in:
- Probability Theory & Related Fields, 2008, v. 142, n. 1/2, p. 1, doi. 10.1007/s00440-007-0097-7
- By:
- Publication type:
- Article
20
Super‐replication with transaction costs under model uncertainty for continuous processes.
- Published in:
- Mathematical Finance, 2022, v. 32, n. 4, p. 1066, doi. 10.1111/mafi.12355
- By:
- Publication type:
- Article
21
Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics.
- Published in:
- Mathematical Finance, 2022, v. 32, n. 4, p. 1086, doi. 10.1111/mafi.12354
- By:
- Publication type:
- Article
22
The asymptotic expansion of the regular discretization error of Itô integrals.
- Published in:
- Mathematical Finance, 2021, v. 31, n. 1, p. 323, doi. 10.1111/mafi.12292
- By:
- Publication type:
- Article
23
CONVEX RISK MEASURES FOR GOOD DEAL BOUNDS.
- Published in:
- Mathematical Finance, 2014, v. 24, n. 3, p. 464, doi. 10.1111/mafi.12020
- By:
- Publication type:
- Article
24
THE NORMALIZING TRANSFORMATION OF THE IMPLIED VOLATILITY SMILE.
- Published in:
- Mathematical Finance, 2012, v. 22, n. 4, p. 753, doi. 10.1111/j.1467-9965.2011.00483.x
- By:
- Publication type:
- Article
25
Limit theorems for random walks under irregular conductance.
- Published in:
- Proceedings of the Japan Academy, Series A: Mathematical Sciences, 2013, v. 89, n. 8, p. 87, doi. 10.3792/pjaa.89.87
- By:
- Publication type:
- Article