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

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Researcher Number	70506451
Other IDs	https://orcid.org/0000-0002-0848-5001
Affiliation (Current)	2024: 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 – 2024: 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 General mathematics (including Probability theory/Statistical mathematics) / Statistical science / Basic Section 12040:Applied mathematics and statistics-related / 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

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

[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

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2. OYA Kosuke (20233281)

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# of Collaborated Products: 4 results
3. WATANABE Toshiaki (90254135)

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4. ISHIDA Isao (20361579)

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5. Yoshida Nakahiro (90210707)

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6. MASUDA Hiroki (10380669)

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7. SHIMIZU Yasutaka (70423085)

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8. MAGHREBI Nabil (20283947)

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9. TANIGAWA Yasuhiko (60163622)

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10. OHNISHI Masamitsu (10160566)

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11. UBUKATA Masato (00467507)

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12. OHTA Wataru (20293681)

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13. TAKADA Teruko (30347504)

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14. KINOSHITA Ryo (10732323)

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15. Hara Chiaki (90314468)

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16. MURATA Noboru (60242038)

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17. KAMATANI Kengo (00569767)

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18. 木島正明 (00186222)

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19. 田園 (10609895)

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24. 高畠哲也

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25. 新井拓児

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Fukasawa Masaaki 深澤 正彰

FUKASAWA Masaaki 深澤 正彰

深澤 正彰 フカサワ マサアキ

Research Projects

Research Products

Co-Researchers

オプション市場高頻度データ解析理論Principal Investigator

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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

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Backward stochastic differential equation and nonlinear stochastic integrationPrincipal Investigator

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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

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Statistical inference and empirical analysis of high frequency market data

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Equilibrium analysis of financial markets with transaction costs

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Statistical inference for stochastic differential equations and its applications to high frequency data analysis

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Asymptotic distribution theory for mathematical financePrincipal Investigator

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Theoretical statistics for stochastic processes and limit theorems

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Issues related to financial risk measurement and its statistical inference

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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

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[Book] Rough Volatility2024

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Data Source

[Book] Rough Volatility2023

Author(s)

Fukasawa Masaaki 深澤正彰

FUKASAWA Masaaki 深澤正彰

深澤正彰フカサワマサアキ