• Search Research Projects
  • Search Researchers
  • How to Use
  1. Back to previous page

Fukasawa Masaaki  深澤 正彰

… Alternative Names

FUKASAWA Masaaki  深澤 正彰

深澤 正彰  フカサワ マサアキ

Less
Researcher Number 70506451
Other IDs
  • ORCIDhttps://orcid.org/0000-0002-0848-5001
Affiliation (Current) 2025: 大阪大学, 大学院基礎工学研究科, 教授
Affiliation (based on the past Project Information) *help 2022 – 2025: 大阪大学, 大学院基礎工学研究科, 教授
2016 – 2021: 大阪大学, 基礎工学研究科, 教授
2017: 大阪大学, 学内共同利用施設等, その他
2015: 大阪大学, 大学院基礎工学研究科, 教授
2015: 大阪大学, 大学院理学研究科, 准教授 … More
2012 – 2015: 大阪大学, 理学(系)研究科(研究院), 准教授
2012: 大阪大学, 理学研究科, 准教授
2010: Osaka University, その他
2009: Osaka University, 金融・保険教育研究センター, 特任助教 Less
Review Section/Research Field
Principal Investigator
Basic Section 12040:Applied mathematics and statistics-related / General mathematics (including Probability theory/Statistical mathematics) / Statistical science / Basic analysis
Except Principal Investigator
Economic statistics / Basic Section 12040:Applied mathematics and statistics-related / General mathematics (including Probability theory/Statistical mathematics) / Money/ Finance / Statistical science
Keywords
Principal Investigator
数理ファイナンス / 確率解析 / 確率積分 / 高頻度データ解析 / support recovery / sparsity / 制限強凸性 / Multivariate ARCH / factor models / 集中不等式 … More / 罰則付き推定 / オプション価格データ / 計量ファイナンス / 解析学 / 確率論 / 非線形確率積分 / 後退確率微分方程式 / 停止時刻 / オイラー丸山近似 / 凸リスク測度 / 離散ヘッジ / 強近似 / フランス:イギリス / 国際研究者交流 / ヘッジ戦略 / 国際研究者交流(フランス) / 同質化 / 最適ヘッジ戦略 / デルタヘッジ / ボラティリティ / 確率制御 / 取引費用 / 安定収束 / 中心極限定理 / 漸近展開 / インプライド・ボラティリティ / 確率的ボラティリティ / インプライドボラティリティ / 摂動展開 / 二次変動 / 離散ヘッジ戦略 / Euler-丸山法 … More
Except Principal Investigator
確率過程 / ボラティリティ / 機械学習 / 統計数学 / セミマルチンゲール / 疑似尤度解析 / 高頻度データ解析 / リスク予測 / 漸近正規性 / レヴィ過程 / 非同期観測モデル / 推定量の最適性 / ジャンプ型拡散過程 / 最尤型推定量 / 局所漸近正規性 / 拡散モデル / モデル選択 / 高頻度観測 / 統計推測 / マルチンゲール展開 / ファイナンス / 漸近理論 / 確率論 / 解析学 / 非同期共分散推定 / 擬似尤度解析 / 確率過程の統計学 / 極限定理 / Malliavin解析 / 漸近展開 / 金融工学 / 経済学 / 金融論 / 経済理論 / 曖昧さ / 流動性 / 均衡 / 取引費用 / 金融市場 / 数理ファイナンス / ミクロ経済学 / 市場流動性 / 高頻度データ / 確率積分 / 漸近分布論 / 実現ボラティリティ / 統計的漸近推測 / ジャンプ過程 / 縮小推定 / 疑似最尤法 / レヴィ過程駆動型モデル / 非整数ブラウン運動 / 高頻度不規則観測 / Levy過程駆動型SDE / 拡散過程 / 数理統計学 / リスク管理 / 金融リスク / 計量ファイナンス Less
  • Research Projects

    (12 results)
  • Research Products

    (97 results)
  • Co-Researchers

    (25 People)
  •  分散型金融の数理Principal Investigator

    • Principal Investigator
      深澤 正彰
    • Project Period (FY)
      2025 – 2029
    • Research Category
      Grant-in-Aid for Scientific Research (C)
    • Review Section
      Basic Section 12040:Applied mathematics and statistics-related
    • Research Institution
      The University of Osaka
  •  オプション市場高頻度データ解析理論Principal Investigator

    • Principal Investigator
      深澤 正彰
    • Project Period (FY)
      2021 – 2024
    • Research Category
      Grant-in-Aid for Scientific Research (C)
    • Review Section
      Basic Section 12040:Applied mathematics and statistics-related
    • Research Institution
      Osaka University
  •  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

    • Principal Investigator
      荻原 哲平
    • Project Period (FY)
      2021 – 2025
    • Research Category
      Grant-in-Aid for Scientific Research (B)
    • Review Section
      Basic Section 12040:Applied mathematics and statistics-related
    • Research Institution
      The University of Tokyo
  •  Backward stochastic differential equation and nonlinear stochastic integrationPrincipal Investigator

    • Principal Investigator
      Fukasawa Masaaki
    • Project Period (FY)
      2017 – 2020
    • Research Category
      Grant-in-Aid for Scientific Research (C)
    • Research Field
      Basic analysis
    • Research Institution
      Osaka University
  •  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Principal Investigator

    • Principal Investigator
      深澤 正彰
    • Project Period (FY)
      2017 – 2019
    • Research Category
      Grant-in-Aid for JSPS Fellows
    • Research Field
      Statistical science
    • Research Institution
      Osaka University
  •  Statistical inference and empirical analysis of high frequency market data

    • Principal Investigator
      OYA KOSUKE
    • Project Period (FY)
      2013 – 2015
    • Research Category
      Grant-in-Aid for Scientific Research (A)
    • Research Field
      Economic statistics
    • Research Institution
      Osaka University
  •  Equilibrium analysis of financial markets with transaction costs

    • Principal Investigator
      Hara Chiaki
    • Project Period (FY)
      2013 – 2017
    • Research Category
      Grant-in-Aid for Scientific Research (A)
    • Research Field
      Money/ Finance
    • Research Institution
      Kyoto University
  •  Statistical inference for stochastic differential equations and its applications to high frequency data analysis

    • Principal Investigator
      UCHIDA Masayuki
    • Project Period (FY)
      2012 – 2017
    • Research Category
      Grant-in-Aid for Scientific Research (B)
    • Research Field
      Statistical science
    • Research Institution
      Osaka University
  •  Asymptotic distribution theory for mathematical financePrincipal Investigator

    • Principal Investigator
      Fukasawa Masaaki
    • Project Period (FY)
      2012 – 2016
    • Research Category
      Grant-in-Aid for Young Scientists (A)
    • Research Field
      General mathematics (including Probability theory/Statistical mathematics)
    • Research Institution
      Osaka University
  •  Theoretical statistics for stochastic processes and limit theorems

    • Principal Investigator
      Yoshida Nakahiro
    • Project Period (FY)
      2012 – 2015
    • Research Category
      Grant-in-Aid for Scientific Research (B)
    • Research Field
      General mathematics (including Probability theory/Statistical mathematics)
    • Research Institution
      The University of Tokyo
  •  Issues related to financial risk measurement and its statistical inference

    • Principal Investigator
      OYA Kosuke
    • Project Period (FY)
      2010 – 2012
    • Research Category
      Grant-in-Aid for Scientific Research (A)
    • Research Field
      Economic statistics
    • Research Institution
      Osaka University
  •  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Principal Investigator

    • Principal Investigator
      深澤 正彰
    • Project Period (FY)
      2009 – 2011
    • Research Category
      Grant-in-Aid for Young Scientists (B)
    • Research Field
      General mathematics (including Probability theory/Statistical mathematics)
    • Research Institution
      Osaka University

All 2024 2023 2022 2021 2020 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010 2009 Other

All Journal Article Presentation Book

  • [Book] Rough Volatility2024

    • Author(s)
      Christian Bayer, Peter K. Friz, Masaaki Fukasawa, Jim Gatheral, Antoine Jacquier, Mathieu Rosenbaum (担当:共編者(共編著者))
    • Total Pages
      261
    • Publisher
      Society for Industrial & Applied Mathematics,U.S.
    • ISBN
      1611977770
    • Data Source
      KAKENHI-PROJECT-23K20809
  • [Book] Rough Volatility2023

    • Author(s)
      Peter K. Friz (Author, Editor), Christian Bayer (Author, Editor), Masaaki Fukasawa (Author, Editor), Jim Gatheral (Author, Editor), Mathieu Rosenbaum (Author, Editor), Antoine Jacquier (Author, Editor)
    • Total Pages
      291
    • Publisher
      SIAM
    • ISBN
      9781611977776
    • Data Source
      KAKENHI-PROJECT-21K03369
  • [Journal Article] A partial rough path space for rough volatility2024

    • Author(s)
      Fukasawa Masaaki、Takano Ryoji
    • Journal Title

      Electronic Journal of Probability

      Volume: 29 Issue: none Pages: 1-28

    • DOI

      10.1214/24-ejp1080

    • Peer Reviewed / Open Access
    • Data Source
      KAKENHI-PROJECT-21K03369, KAKENHI-PROJECT-23K20809
  • [Journal Article] Weighted variance swaps hedge against impermanent loss2023

    • Author(s)
      Fukasawa Masaaki、Maire Basile、Wunsch Marcus
    • Journal Title

      Quantitative Finance

      Volume: 23 Issue: 6 Pages: 901-911

    • DOI

      10.1080/14697688.2023.2202708

    • Peer Reviewed / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-23K20809
  • [Journal Article] Malliavin Calculus Techniques for Local Asymptotic Mixed Normality and Their Application to Hypoelliptic Diffusions2023

    • Author(s)
      Masaaki Fukasawa; Teppei Ogihara
    • Journal Title

      Bernoulli

      Volume: -

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-23K20809
  • [Journal Article] Wiener Spiral for Volatility Modeling2023

    • Author(s)
      Fukasawa M.
    • Journal Title

      Theory of Probability & Its Applications

      Volume: 68 Issue: 3 Pages: 481-500

    • DOI

      10.1137/s0040585x97t991581

    • Data Source
      KAKENHI-PROJECT-21K03369
  • [Journal Article] Limit distributions for the discretization error of stochastic Volterra equations with fractional kernel2023

    • Author(s)
      Fukasawa Masaaki、Ugai Takuto
    • Journal Title

      The Annals of Applied Probability

      Volume: 33 Issue: 6B Pages: 5071-5110

    • DOI

      10.1214/23-aap1941

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21K03369, KAKENHI-PROJECT-23K20809
  • [Journal Article] Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics2022

    • Author(s)
      Fukasawa Masaaki、Takabatake Tetsuya、Westphal Rebecca
    • Journal Title

      Mathematical Finance

      Volume: 32 Issue: 4 Pages: 1086-1132

    • DOI

      10.1111/mafi.12354

    • Peer Reviewed / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-19K23224, KAKENHI-PROJECT-23K20809
  • [Journal Article] On asymptotically arbitrage-free approximations of the implied volatility2022

    • Author(s)
      Fukasawa Masaaki
    • Journal Title

      Frontiers of Mathematical Finance

      Volume: 1 Issue: 4 Pages: 525-537

    • DOI

      10.3934/fmf.2022006

    • Peer Reviewed / Open Access
    • Data Source
      KAKENHI-PROJECT-21K03369
  • [Journal Article] A rough SABR formula2022

    • Author(s)
      Fukasawa Masaaki、Gatheral Jim
    • Journal Title

      Frontiers of Mathematical Finance

      Volume: 1 Issue: 1 Pages: 81-81

    • DOI

      10.3934/fmf.2021003

    • Peer Reviewed / Open Access / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-21K03369
  • [Journal Article] Short Communication: On the Weak Convergence Rate in the Discretization of Rough Volatility Models2022

    • Author(s)
      Bayer Christian, Fukasawa Masaaki, and Nakahara Shonosuke
    • Journal Title

      SIAM Journal on Financial Mathematics

      Volume: 13 Issue: 2 Pages: SC66-SC73

    • DOI

      10.1137/22m1482871

    • Peer Reviewed / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-23K20809
  • [Journal Article] The asymptotic expansion of the regular discretization error of It? integrals2021

    • Author(s)
      Alos Elisa、Fukasawa Masaaki
    • Journal Title

      Mathematical Finance

      Volume: 31 Issue: 1 Pages: 323-365

    • DOI

      10.1111/mafi.12292

    • Peer Reviewed / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-17K05297
  • [Journal Article] Efficient discretisation of stochastic differential equations2020

    • Author(s)
      Fukasawa Masaaki、Obloj Jan
    • Journal Title

      Stochastics

      Volume: 92 Issue: 6 Pages: 833-851

    • DOI

      10.1080/17442508.2019.1666131

    • Peer Reviewed / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-17K05297
  • [Journal Article] Asymptotically efficient estimators for self-similar stationary Gaussian noises under high frequency observations2019

    • Author(s)
      M. Fukasawa and T. Takabatake
    • Journal Title

      Bernoulli

      Volume: Forthcoming Pages: 000-000

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-25245046
  • [Journal Article] Short-term at-the-money asymptotics under stochastic volatility models2019

    • Author(s)
      O. El Euch, M. Fukasawa, J. Gatheral and M. Rosenbaum
    • Journal Title

      SIAM Journal on Financial Mathematics

      Volume: Forthcoming Pages: 000-000

    • Peer Reviewed / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-25245046
  • [Journal Article] Perfect hedging under endogenous permanent market impacts2018

    • Author(s)
      Fukasawa Masaaki、Stadje Mitja
    • Journal Title

      Finance and Stochastics

      Volume: 22 Issue: 2 Pages: 417-442

    • DOI

      10.1007/s00780-017-0352-4

    • Peer Reviewed / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-17K05297, KAKENHI-PROJECT-25245046
  • [Journal Article] Equilibrium returns with transaction costs2018

    • Author(s)
      Bruno Bouchard; Masaaki Fukasawa; Martin Hedegen; Johannes Muhle-Karbe
    • Journal Title

      Finance and Stochastics

      Volume: 印刷中

    • Peer Reviewed / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-17K05297
  • [Journal Article] Equilibrium returns with transaction costs2018

    • Author(s)
      Bouchard Bruno、Fukasawa Masaaki、Herdegen Martin、Muhle-Karbe Johannes
    • Journal Title

      Finance and Stochastics

      Volume: 22 Issue: 3 Pages: 569-601

    • DOI

      10.1007/s00780-018-0366-6

    • Peer Reviewed / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-17K05297, KAKENHI-PROJECT-25245046
  • [Journal Article] The microstructural foundations of leverage effect and rough volatility2018

    • Author(s)
      El Euch Omar、Fukasawa Masaaki、Rosenbaum Mathieu
    • Journal Title

      Finance and Stochastics

      Volume: 22 Issue: 2 Pages: 241-280

    • DOI

      10.1007/s00780-018-0360-z

    • Peer Reviewed / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-25245046
  • [Journal Article] Local asymptotic normality property for fractional Gaussian noise under high-frequency observations2018

    • Author(s)
      Brouste Alexandre、Fukasawa Masaaki
    • Journal Title

      The Annals of Statistics

      Volume: 46 Issue: 5 Pages: 2045-2061

    • DOI

      10.1214/17-aos1611

    • Peer Reviewed / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-25245046
  • [Journal Article] Short-time at-the-money skew and rough fractional volatility2017

    • Author(s)
      Masaaki Fukasawa
    • Journal Title

      Quantitative Finance

      Volume: 17 Issue: 2 Pages: 189-198

    • DOI

      10.1080/14697688.2016.1197410

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-25245046, KAKENHI-PROJECT-24684006, KAKENHI-PROJECT-24300107
  • [Journal Article] Optimal Discretization of Hedging Strategies with Directional Views2016

    • Author(s)
      Jiatu Cai; Masaaki Fukasawa; Mathieu Rosenbaum; Peter Tankov
    • Journal Title

      SIAM Journal on Financial Mathematics

      Volume: 7 Issue: 1 Pages: 34-69

    • DOI

      10.1137/151004306

    • Peer Reviewed / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-24684006
  • [Journal Article] Asymptotic replication with modified volatility under small transaction costs2016

    • Author(s)
      Jiatu Cai and Masaaki Fukasawa
    • Journal Title

      Finance and Stochastics

      Volume: 20 Issue: 2 Pages: 381-431

    • DOI

      10.1007/s00780-016-0294-2

    • Peer Reviewed / Acknowledgement Compliant / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-25245034, KAKENHI-PROJECT-24684006, KAKENHI-PROJECT-25245046, KAKENHI-PROJECT-24300107
  • [Journal Article] The yuima project: A computational framework for simulation and inference of stochastic differential equations2014

    • Author(s)
      Brouste, A., ,Fukasawa, M., Hino, H., Iacus, S., Kamatani, K., Koike, Y., Masuda, H., Nomura, R., Ogihara, T., Shimuzu, Y., Uchida M., and Yoshida, N.
    • Journal Title

      Journal of Statistical Software

      Volume: 57

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-24340015
  • [Journal Article] Volatility derivatives and model-free implied leverage2014

    • Author(s)
      Masaaki Fukasawa
    • Journal Title

      International journal of Theoretical and Applied Finance

      Volume: 17 Issue: 01 Pages: 1450002-1450002

    • DOI

      10.1142/s0219024914500022

    • NAID

      120006937137

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-24684006, KAKENHI-PROJECT-25245034, KAKENHI-PROJECT-25245046
  • [Journal Article] The YUIMA Project: A Computational Framework for Simulation and Inference of Stochastic Differential Equations2014

    • Author(s)
      A. Brouste, M. Fukasawa, H. Hino, S. Iacus, K. Kamatani, Y. Koike, H. Masuda, R. Nomura, T. Ogihara, Y. Shimuzu, M. Uchida and N. Yoshida
    • Journal Title

      Journal of Statistical Software

      Volume: 57 Pages: 4-4

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-24684006
  • [Journal Article] The YUIMA project: A computational framework for simulation and inference of stochastic differential equations2014

    • Author(s)
      Brouste, A., Fukasawa, M., Hino, H., Iacus, S., Kamatani, K., Koike, Y., Masuda, H., Nomura, R., Ogihara, T., Shimuzu, Y., Uchida, M., and Yoshida, N.
    • Journal Title

      Journal of Statistical Software

      Volume: 57 Pages: 1-51

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-24300107
  • [Journal Article] The YUIMA Project: A Computational Framework for Simulation and Inference of Stochastic Differential Equations2014

    • Author(s)
      A. Brouste, Msaaki Fukasawa, H. Hino, S. M. Iacus, K. Kamatani, Y. Koike, H. Masuda, R. Nomura, T. Ogihara, Y. Shimizu, M. Uchida, and N. Yoshida
    • Journal Title

      Journal of Statistical Software

      Volume: 57 Pages: 1-51

    • Peer Reviewed / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-25245046
  • [Journal Article] Efficient discretization of stochastic integrals2014

    • Author(s)
      Masaaki Fukasawa
    • Journal Title

      Finance and Stochastics

      Volume: 18 Issue: 1 Pages: 175-208

    • DOI

      10.1007/s00780-013-0215-6

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-24300107, KAKENHI-PROJECT-24684006, KAKENHI-PROJECT-25245034, KAKENHI-PROJECT-25245046
  • [Journal Article] Limit theorems for random walks under irregular conductance2013

    • Author(s)
      Masaaki Fukasawa
    • Journal Title

      Proceedings of the Japan Academy, Ser. A, Mathematical Sciences

      Volume: 89 Issue: 8 Pages: 87-91

    • DOI

      10.3792/pjaa.89.87

    • NAID

      40019906997

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-24684006
  • [Journal Article] Convex risk measure for good deal bounds2013

    • Author(s)
      T. Arai and M. Fukasawa
    • Journal Title

      Mathematical Finance

      Volume: (to appear) Issue: 3 Pages: 464-484

    • DOI

      10.1111/mafi.12020

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-22540149, KAKENHI-PROJECT-24684006, KAKENHI-PROJECT-25245034, KAKENHI-PROJECT-25245046
  • [Journal Article] The normalizing transformation of the implied volatility smile2012

    • Author(s)
      Masaaki Fukasawa
    • Journal Title

      Mathematical Finance

      Volume: 22 Issue: 4 Pages: 753-762

    • DOI

      10.1111/j.1467-9965.2011.00483.x

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-22243021
  • [Journal Article] he Normalizing Transformation of the Implied Volatility Smile2012

    • Author(s)
      Fukasawa, M
    • Journal Title

      Mathematical Finance

      Volume: vol.22 Pages: 753-762

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-22243021
  • [Journal Article] The Normalizing Transformation of the Implied Volatility Smile2011

    • Author(s)
      Fukasawa, M.
    • Journal Title

      Mathematical Finance

      Volume: (掲載確定)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-22243021
  • [Journal Article] Model-Free Implied Volatility : From Surface to Index2011

    • Author(s)
      Masaaki Fukazawa, Isao Ishida, Nail Maghrebi, Kosuke Oya, Masato Ubukata and Kazutoshi Yamazaki
    • Journal Title

      International Journal of Theoretical and Applied Finance

      Volume: 14 Issue: 04 Pages: 433-463

    • DOI

      10.1142/s0219024911006681

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21243019, KAKENHI-PROJECT-22243021
  • [Journal Article] Model-Free Implied Volatility: from Surface to Index2011

    • Author(s)
      Fukasawa, M., Ishida, I., Maghrebi, N., Oya, K., Ubukata, M. and Yamazaki, K
    • Journal Title

      International Journal of Theoretical and Applied Finance

      Volume: vol.14 Pages: 433-463

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-22243021
  • [Journal Article] Model-Free Implied Volatility : from Surface to Index2011

    • Author(s)
      Fukasawa, M., Ishida, I., Maghrebi, N., Oya, K., Ubukata, M., Yamazaki, K.
    • Journal Title

      International Journal of Theoretical and Applied Finance

      Volume: (掲載確定)

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-22243021
  • [Journal Article] 離散ヘッジ戦略の漸近有効性2010

    • Author(s)
      深澤正彰
    • Journal Title

      金融工学研究所設立10周年記念懸賞論文集 1

      Pages: 81-92

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21740074
  • [Journal Article] 実現ボラティリティの漸近分布について2009

    • Author(s)
      深澤正彰
    • Journal Title

      統計数理 57

      Pages: 3-16

    • NAID

      120006018976

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21740074
  • [Presentation] Limit distributions for the discretization error of stochastic Volterra equations with fractional kernel2024

    • Author(s)
      Masaaki Fukasawa
    • Organizer
      Workshop on Stochastics, Memory and Roughness 2024 (Oslo)
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-21K03369
  • [Presentation] Limit distributions for the discretization error of stochastic Volterra equations with fractional kernel2024

    • Author(s)
      Masaaki Fukasawa
    • Organizer
      Workshop on Stochastics, Memory and Roughness 2024 (Oslo)
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-23K20809
  • [Presentation] ラフ・ボラティリティ研究の概要2024

    • Author(s)
      深澤正彰
    • Organizer
      東京ファイナンスフォーラム
    • Invited
    • Data Source
      KAKENHI-PROJECT-23K20809
  • [Presentation] ラフ・ボラティリティ研究の概要2024

    • Author(s)
      深澤 正彰
    • Organizer
      東京ファイナンスフォーラム
    • Invited
    • Data Source
      KAKENHI-PROJECT-21K03369
  • [Presentation] Backward stochastic difference equations on lattices with application to market equilibrium analysis2024

    • Author(s)
      Masaaki Fukasawa
    • Organizer
      Winter Workshop in Finance (Otaru)
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-23K20809
  • [Presentation] A partial rough path space for rough volatility2023

    • Author(s)
      Masaaki Fukasawa
    • Organizer
      Volatility is rough (Isle of Skye)
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-21K03369
  • [Presentation] When to efficiently rebalance a portfolio2023

    • Author(s)
      Masaaki Fukasawa
    • Organizer
      The Bachelier seminar (Paris)
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-23K20809
  • [Presentation] 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2023

    • Author(s)
      深澤正彰
    • Organizer
      確率解析とその周辺
    • Data Source
      KAKENHI-PROJECT-23K20809
  • [Presentation] On the term structure of the leverage effect2023

    • Author(s)
      Masaaki Fukasawa
    • Organizer
      Volatility conference 2023 (Singapore)
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-23K20809
  • [Presentation] When to efficiently rebalance a portfolio2023

    • Author(s)
      Masaaki Fukasawa
    • Organizer
      Berlin Probability Colloquium
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-23K20809
  • [Presentation] On the term structure of the leverage effect2023

    • Author(s)
      Masaaki Fukasawa
    • Organizer
      Volatility conference 2023 (Singapore)
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-21K03369
  • [Presentation] Model-free Hedging of Impermanent Loss in Geometric Mean Market Makers2023

    • Author(s)
      Masaaki Fukasawa
    • Organizer
      Conference in honour of Martin Schweizer's 60th birthday (Zurich)
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-23K20809
  • [Presentation] A partial rough path space for rough volatility2023

    • Author(s)
      Masaaki Fukasawa
    • Organizer
      Volatility is rough (Isle of Skye)
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-23K20809
  • [Presentation] When to efficiently rebalance a portfolio2023

    • Author(s)
      Masaaki Fukasawa
    • Organizer
      Conference in honour of Michael Dempster's 85th birthday (Cambridge)
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-23K20809
  • [Presentation] 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2023

    • Author(s)
      深澤 正彰
    • Organizer
      確率解析とその周辺
    • Data Source
      KAKENHI-PROJECT-21K03369
  • [Presentation] On asymptotically arbitrage-free approximations of the implied volatility2022

    • Author(s)
      Masaaki Fukasawa
    • Organizer
      The 11th World Congress of the Bachelier Finance Society
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-21K03369
  • [Presentation] A limit theorem for quadratic variations of stable processes with index tending to 22022

    • Author(s)
      M. FUKASAWA
    • Organizer
      Intrinsic Time in Finance (Konstanz, Germany)
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-23K20809
  • [Presentation] Limit distributions for the discretization error of stochastic Volterra equations with fractional kernel2022

    • Author(s)
      M. FUKASAWA
    • Organizer
      Workshop on Stochastic Control and Quantitative Finance (Jerusalem, Israel)
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-23K20809
  • [Presentation] On asymptotically arbitrage-free approximations of the implied volatility2022

    • Author(s)
      M. FUKASAWA
    • Organizer
      The 11th World Congress of the Bachelier Finance Society (Hong Kong, online)
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-23K20809
  • [Presentation] A partial rough path space for rough volatility2022

    • Author(s)
      M. FUKASAWA
    • Organizer
      DataSig Seminar (online)
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-23K20809
  • [Presentation] On asymptotically arbitrage-free approximations of the implied volatility2022

    • Author(s)
      M. FUKASAWA
    • Organizer
      LMU Spring Workshop in Stochastics and Finance (Munich, Germany)
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-23K20809
  • [Presentation] A rough SABR formula2021

    • Author(s)
      MASAAKI FUKASAWA
    • Organizer
      New Challenges in Quantitative Finance
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-21K03369
  • [Presentation] A rough SABR formula2021

    • Author(s)
      深澤 正彰
    • Organizer
      第8回 統計数理研究所リスク解析戦略研究センター金融シンポジウム
    • Invited
    • Data Source
      KAKENHI-PROJECT-21K03369
  • [Presentation] Equilibrium returns with transaction costs2019

    • Author(s)
      深澤 正彰
    • Organizer
      Workshop on Financial Risks and Their Management
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-25245046
  • [Presentation] The volatility skew, the skewness of return, and the model-free implied leverage2019

    • Author(s)
      深澤 正彰
    • Organizer
      VXJ 10周年記念ワークショップ
    • Data Source
      KAKENHI-PROJECT-25245046
  • [Presentation] The asymptotic expansion of the regular discretization error of Ito integrals2019

    • Author(s)
      深澤 正彰
    • Organizer
      Stochastic Processes and Related Topics
    • Invited
    • Data Source
      KAKENHI-PROJECT-25245046
  • [Presentation] Short-term at-the-money asymptotics under stochastic volatility models2018

    • Author(s)
      深澤 正彰
    • Organizer
      9th International Workshop on Applied Probability
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-25245046
  • [Presentation] Hedging and calibration for log-normal rough volatility models2018

    • Author(s)
      深澤 正彰
    • Organizer
      10th World Congress of Bachelier Finance Society
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-25245046
  • [Presentation] The asymptotic expansion of the regular discretization error of Ito integrals2018

    • Author(s)
      深澤 正彰
    • Organizer
      Advanced Methods in Mathematical Finance
    • Invited
    • Data Source
      KAKENHI-PROJECT-25245046
  • [Presentation] Hedging under small transaction costs2018

    • Author(s)
      深澤 正彰
    • Organizer
      Innovative Research in Mathematical Finance
    • Invited
    • Data Source
      KAKENHI-PROJECT-25245046
  • [Presentation] Perfect hedging under endogenous permanent market impacts2017

    • Author(s)
      Masaaki Fukasawa
    • Organizer
      Advances in Stochastic Analysis for Risk Modeling
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-17K05297
  • [Presentation] At-the-money short-term asymptotics under stochastic volatility models2017

    • Author(s)
      Masaaki Fukasawa
    • Organizer
      Advances in Financial Mathematics
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-24300107
  • [Presentation] At-the-money short-term asymptotics under stochastic volatility models2017

    • Author(s)
      Masaaki Fukasawa
    • Organizer
      Advances in Financial Mathematics
    • Place of Presentation
      パリ第5大学(フランス,パリ)
    • Year and Date
      2017-01-10
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-24684006
  • [Presentation] Volatility derivatives and model-free implied leverage2016

    • Author(s)
      Masaaki Fukasawa
    • Organizer
      International conference on Monte Carlo techniques
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-24300107
  • [Presentation] Perfect hedging under endogenous permanent market impact2016

    • Author(s)
      Masaaki Fukasawa and Mitja Stadje
    • Organizer
      The fourth Asian quantitative finance conference
    • Place of Presentation
      大阪大学中之島センター(大阪府大阪市北区)
    • Year and Date
      2016-02-21
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-25245034
  • [Presentation] Perfect hedging under endogenous permanent market impact2016

    • Author(s)
      深澤正彰
    • Organizer
      The 4th Asian Quantitative Finance Conference
    • Place of Presentation
      大阪大学中之島センター(大阪府・大阪市)
    • Year and Date
      2016-02-21
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-25245046
  • [Presentation] Hedging under endogenous permanent market impacts2016

    • Author(s)
      Masaaki Fukasawa
    • Organizer
      At the Frontiers of Quantitative Finance
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-24300107
  • [Presentation] Asymptotic replication with modified volatility under small transaction costs2016

    • Author(s)
      Masaaki Fukasawa
    • Organizer
      Winter Workshop on Operations Research, Finance and Mathematics 2016
    • Place of Presentation
      サホロリゾート(北海道上川郡)
    • Year and Date
      2016-02-17
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-24684006
  • [Presentation] Asymptotic replication with modified volatility under small transaction costs2016

    • Author(s)
      深澤正彰
    • Organizer
      Winter Workshop on Operations Research, Finance and Mathematics 2016
    • Place of Presentation
      十勝サホロリゾート(北海道・上川郡新得町)
    • Year and Date
      2016-02-17
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-25245046
  • [Presentation] Homogenization in hedging under transaction costs2015

    • Author(s)
      Masaaki Fukasawa
    • Organizer
      RIMS合宿型セミナー「確率解析の新展開」
    • Place of Presentation
      国際高等研究所(京都府木津川市)
    • Year and Date
      2015-07-10
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-24684006
  • [Presentation] Phase transitions in a control problem2015

    • Author(s)
      Masaaki Fukasawa
    • Organizer
      確率解析シンポジウム
    • Place of Presentation
      大阪大学基礎工学部
    • Year and Date
      2015-10-21
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-24684006
  • [Presentation] 高頻度データに対する Whittle 尤度2014

    • Author(s)
      深澤正彰
    • Organizer
      日本数学会
    • Place of Presentation
      学習院大学
    • Invited
    • Data Source
      KAKENHI-PROJECT-24300107
  • [Presentation] Effective Discretization of Stochastic Differential Equations2013

    • Author(s)
      Fukasawa, M
    • Organizer
      Statistique Asymptotique des Processus Stochastiques IX
    • Place of Presentation
      Universite du Maine, Le Mans, France
    • Year and Date
      2013-03-13
    • Data Source
      KAKENHI-PROJECT-22243021
  • [Presentation] Linear regression of drift in continuous semimartingale models2013

    • Author(s)
      Masaaki Fukasawa
    • Organizer
      The 59th ISI World Statistics Congress
    • Place of Presentation
      Hong Kong
    • Invited
    • Data Source
      KAKENHI-PROJECT-24684006
  • [Presentation] Effectice discretization of stochastic differential equations2013

    • Author(s)
      Masaaki Fukasawa
    • Organizer
      Statistique Asymptotique des Processus Stochastiques IX
    • Place of Presentation
      Universite du Maine, Le Mans, France
    • Invited
    • Data Source
      KAKENHI-PROJECT-22243021
  • [Presentation] JGB volatility index の算出に関して2013

    • Author(s)
      深澤正彰,黒瀬雄大,大屋幸輔
    • Organizer
      Summer Workshop on Economic Theory
    • Place of Presentation
      釧路公立大学
    • Data Source
      KAKENHI-PROJECT-25245034
  • [Presentation] Linear regression of drift in continuous semimartingale models2013

    • Author(s)
      Masaaki Fukasawa
    • Organizer
      The 59th World Statistics Congress (WSC)
    • Place of Presentation
      Hong Kong Convention and Exhibition Centre, Hong Kong
    • Data Source
      KAKENHI-PROJECT-25245034
  • [Presentation] 確率積分の離散データによる近似について2012

    • Author(s)
      深澤正彰
    • Organizer
      統計関連学会連合大会
    • Place of Presentation
      北海道大学
    • Year and Date
      2012-09-10
    • Data Source
      KAKENHI-PROJECT-24300107
  • [Presentation] Efficient discretization of stochastic integrals2012

    • Author(s)
      深澤正彰
    • Organizer
      8_<th> World Congress in Probability and Statistics
    • Place of Presentation
      Grand Cevahir Hotel イスタンブール(トルコ)(招待講演)
    • Year and Date
      2012-07-12
    • Data Source
      KAKENHI-PROJECT-24684006
  • [Presentation] Efficient discretization of stochastic integrals2012

    • Author(s)
      Masaaki Fukasawa
    • Organizer
      8th world congress in probability and statistics
    • Place of Presentation
      Grand Cevahir Hotel and Convention Center, Istanbul, Turkey
    • Invited
    • Data Source
      KAKENHI-PROJECT-22243021
  • [Presentation] Asymptotically Efficient Discrete Hedging2010

    • Author(s)
      深澤正彰
    • Organizer
      Bachelier Colloquium
    • Place of Presentation
      Metabief (France)
    • Year and Date
      2010-01-29
    • Data Source
      KAKENHI-PROJECT-21740074
  • [Presentation] Realized Volatility with Stochastic Sampling2010

    • Author(s)
      深澤正彰
    • Organizer
      Workshop on Stochastic Analysis and Statistical Inference V
    • Place of Presentation
      東京大学
    • Year and Date
      2010-02-23
    • Data Source
      KAKENHI-PROJECT-21740074
  • [Presentation] 二次変分の非正則な漸近挙動について2010

    • Author(s)
      深澤正彰
    • Organizer
      日本数学会
    • Place of Presentation
      名古屋大学(愛知県)
    • Year and Date
      2010-09-22
    • Data Source
      KAKENHI-PROJECT-22243021
  • [Presentation] 二次変分の非正則な漸近挙動について2010

    • Author(s)
      深澤正彰
    • Organizer
      日本数学会
    • Place of Presentation
      名古屋大学(名古屋)
    • Year and Date
      2010-09-22
    • Data Source
      KAKENHI-PROJECT-22243021
  • [Presentation] Discretization Error of Stochastic Integrals2009

    • Author(s)
      深澤正彰
    • Organizer
      Computational Finance
    • Place of Presentation
      京都大学
    • Year and Date
      2009-08-11
    • Data Source
      KAKENHI-PROJECT-21740074
  • [Presentation] Discretization Error of Stochastic Integrals2009

    • Author(s)
      深澤正彰
    • Organizer
      日本数学会
    • Place of Presentation
      大阪大学
    • Year and Date
      2009-09-25
    • Data Source
      KAKENHI-PROJECT-21740074
  • [Presentation] On the validity of a singular perturbation of European option prices2009

    • Author(s)
      深澤正彰
    • Organizer
      Workshop on Stochastic Analysis & Finance
    • Place of Presentation
      香港城市大学(中国)
    • Year and Date
      2009-06-30
    • Data Source
      KAKENHI-PROJECT-21740074
  • [Presentation] 高頻度データに対する Whittle 尤度

    • Author(s)
      深澤正彰
    • Organizer
      日本数学会
    • Place of Presentation
      学習院大学
    • Invited
    • Data Source
      KAKENHI-PROJECT-24684006
  • 1.  UCHIDA Masayuki (70280526)
    # of Collaborated Projects: 3 results
    # of Collaborated Products: 2 results
  • 2.  OYA Kosuke (20233281)
    # of Collaborated Projects: 2 results
    # of Collaborated Products: 4 results
  • 3.  WATANABE Toshiaki (90254135)
    # of Collaborated Projects: 2 results
    # of Collaborated Products: 0 results
  • 4.  ISHIDA Isao (20361579)
    # of Collaborated Projects: 2 results
    # of Collaborated Products: 2 results
  • 5.  Yoshida Nakahiro (90210707)
    # of Collaborated Projects: 2 results
    # of Collaborated Products: 2 results
  • 6.  MASUDA Hiroki (10380669)
    # of Collaborated Projects: 2 results
    # of Collaborated Products: 2 results
  • 7.  SHIMIZU Yasutaka (70423085)
    # of Collaborated Projects: 2 results
    # of Collaborated Products: 0 results
  • 8.  MAGHREBI Nabil (20283947)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 2 results
  • 9.  TANIGAWA Yasuhiko (60163622)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 10.  OHNISHI Masamitsu (10160566)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 11.  UBUKATA Masato (00467507)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 2 results
  • 12.  OHTA Wataru (20293681)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 13.  TAKADA Teruko (30347504)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 14.  KINOSHITA Ryo (10732323)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 15.  Hara Chiaki (90314468)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 1 results
  • 16.  MURATA Noboru (60242038)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 17.  KAMATANI Kengo (00569767)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 1 results
  • 18.  木島 正明 (00186222)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 3 results
  • 19.  田 園 (10609895)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 20.  西出 勝正 (40410683)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 21.  荻原 哲平 (40746426)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 1 results
  • 22.  上原 悠槙 (00822545)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 23.  POIGNARD BENJAMIN
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 24.  高畠 哲也
    # of Collaborated Projects: 0 results
    # of Collaborated Products: 1 results
  • 25.  新井 拓児
    # of Collaborated Projects: 0 results
    # of Collaborated Products: 1 results

URL: 

Information User Guide FAQ News Terms of Use Attribution of KAKENHI

Powered by NII kakenhi