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J-GLOBAL ID:200901056089848834   Update date: Mar. 11, 2024

Fukasawa Masaaki

フカサワ マサアキ | Fukasawa Masaaki
Affiliation and department:
Job title: Professor
Other affiliations (1):
  • Osaka University
Homepage URL  (1): http://www.sigmath.es.osaka-u.ac.jp/~fukasawa/
Research field  (2): Applied mathematics and statistics ,  Basic mathematics
Research keywords  (3): Mathematical Statistics ,  Stochastic Analysis ,  Mathematical Finance
Research theme for competitive and other funds  (15):
  • 2021 - 2026 ジャンプを含む確率過程の複雑な観測データに対する統計解析と新しい学習理論への応用
  • 2021 - 2025 オプション市場高頻度データ解析理論
  • 2017 - 2021 Backward stochastic differential equation and nonlinear stochastic integration
  • 2017 - 2020 時系列モデリングにおける罰則付きM推定と動的疎性の統計理論
  • 2015 - 2019 Study on Dynamic Portfolio Insurance and Related Topics
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Papers (46):
  • Masaaki Fukasawa, Teppei Ogihara. Malliavin calculus techniques for local asymptotic mixed normality and their application to hypoelliptic diffusions. Bernoulli. 2024. 30. 2. 983-1006
  • Masaaki Fukasawa, Ryoji Takano. A partial rough path space for rough volatility. Electronic Journal of Probability. 2024. 29. 1-28
  • Masaaki Fukasawa, Takuto Ugai. Limit distributions for the discretization error of stochastic Volterra equations with fractional kernel. The Annals of Applied Probability. 2023. 33. 6B. 5071-5110
  • Masaaki Fukasawa, Basile Maire, Marcus Wunsch. Weighted variance swaps hedge against impermanent loss. Quantitative Finance. 2023. 23. 6. 901-911
  • Masaaki Fukasawa. On asymptotically arbitrage-free approximations of the implied volatility. Frontiers of Mathematical Finance. 2022. 1. 4. 525-537
more...
MISC (5):
  • M. Fukasawa. Wiener Spiral for Volatility Modeling. Theory of Probability & Its Applications. 2023. 68. 3. 481-500
  • Masaaki FUKASAWA, Masamitsu OHNISHI, Makoto SHIMOSHIMIZU. Optimal execution under a generalized price impact model with Markovian exogenous orders in a continuous-time setting: ファイナンスの数理解析とその応用. 数理解析研究所講究録. 2021. 2207. 1-22
  • 深澤正彰. インプライド・ボラティリティの数理. 先物・オプションレポート. 2019
  • 深澤正彰. ボラティリティ指数の理論. 先物・オプションレポート. 2019
  • 深澤 正彰. 中心極限定理とファイナンス (特集 中心極限定理から広がる確率論). 数学セミナー. 2016. 55. 7. 22-27
Books (1):
  • Rough Volatility
    2023 ISBN:9781611977776
Lectures and oral presentations  (35):
  • Backward stochastic difference equations on lattices with application to market equilibrium analysis
    (Winter Workshop in Finance (Otaru) 2024)
  • ラフ・ボラティリティ研究の概要
    (東京ファイナンスフォーラム 2024)
  • Limit distributions for the discretization error of stochastic Volterra equations with fractional kernel
    (Workshop on Stochastics, Memory and Roughness 2024 (Oslo) 2024)
  • フィルター付き確率空間におけるキュムラント再帰公式とその応用
    (確率解析とその周辺 2023)
  • On the term structure of the leverage effect
    (Volatility conference 2023 (Singapore) 2023)
more...
Education (2):
  • 2004 - 2007 The University of Tokyo Graduate School of Mathematical Sciences
  • 2002 - 2004 The University of Tokyo
Professional career (1):
  • 博士(数理科学) (東京大学)
Work history (5):
  • 2016/04 - 現在 Osaka University Graduate School of Engineering Science Professor
  • 2016/04 - 2018/03 Tokyo Metropolitan University Graduate School of Social Science Adjunct Professor
  • 2011/06 - 2016/03 Osaka University Graduate School of Science, Department of Mathematics Associate Professor
  • 2010/12 - 2011/05 ETH Zurich
  • 2007/12 - 2010/12 Osaka University Center for the Study of Finance and Insurance Associate Professor
Committee career (8):
  • 2018/07 - 現在 Finance and Stochastics Co-Editor
  • 2017/10 - 現在 Osaka Journal of Mathematics Associate Editor
  • 2016/12 - 現在 Asymptotic Analysis Editorial Board
  • 2013/01 - 現在 Quantitative Finance Managing Editor
  • 2020/01 - 2023/12 Bachelier Finance Society Council
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Awards (1):
  • 2010/09 - 日本数学会賞建部賢弘賞奨励賞
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