Rchr
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):
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
- 2013 - 2018 Equilibrium analysis of financial markets with transaction costs
- 2012 - 2018 Statistical inference for stochastic differential equations and its applications to high frequency data analysis
- 2012 - 2017 Asymptotic distribution theory for mathematical finance
- 2013 - 2016 Statistical inference and empirical analysis of high frequency market data
- 2012 - 2016 Theoretical statistics for stochastic processes and limit theorems
- 2010 - 2012 Issues related to financial risk measurement and its statistical inference
- 2009 - 2011 確率ボラティリティモデルに対する統計的漸近理論とその応用
- 2006 - 2007 定常過程に対する統計的推定問題。特に連続時間の枠組でのブートストラップ手法
- Asymptotic Analysis for Stochastic Processes
- 確率過程に対する漸近分布論
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Papers (46):
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Masaaki Fukasawa, Teppei Ogihara. Malliavin calculus techniques for local asymptotic mixed normality and their application to hypoelliptic diffusions. Bernoulli. 2024. 30. 2. 983-1006
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Masaaki Fukasawa, Ryoji Takano. A partial rough path space for rough volatility. Electronic Journal of Probability. 2024. 29. 1-28
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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
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Masaaki Fukasawa, Basile Maire, Marcus Wunsch. Weighted variance swaps hedge against impermanent loss. Quantitative Finance. 2023. 23. 6. 901-911
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Masaaki Fukasawa. On asymptotically arbitrage-free approximations of the implied volatility. Frontiers of Mathematical Finance. 2022. 1. 4. 525-537
more...
MISC (5):
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M. Fukasawa. Wiener Spiral for Volatility Modeling. Theory of Probability & Its Applications. 2023. 68. 3. 481-500
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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
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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
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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
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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):
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Rough Volatility
2023 ISBN:9781611977776
Lectures and oral presentations (35):
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Backward stochastic difference equations on lattices with application to market equilibrium analysis
(Winter Workshop in Finance (Otaru) 2024)
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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)
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Limit distributions for the discretization error of stochastic Volterra equations with fractional kernel
(Workshop on Stochastics, Memory and Roughness 2024 (Oslo) 2024)
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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)
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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):
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
- 2017/01 - 2019/12 SIAM Journal of Financial Mathematics Associate Editor
- 2014/04 - 2018/12 Associate Editor Japan Journal of Industrial and Applied Mathematics
- 2011/01 - 2018/06 Finance and Stochastics Associate Editor
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Awards (1):
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