School personnel information

写真b

FUKASAWA Masaaki


Keyword

Stochastic Analysis, Mathematical Finance, Mathematical Statistics

URL

http://www.sigmath.es.osaka-u.ac.jp/~fukasawa/

Organization 【 display / non-display

  • 2007.12.16 - 2010.12.15, Center for the Study of Finance and Insurance, Assistant Professor

  • 2011.06.01 - 2016.03.31, Department of Mathematics, Graduate School of Science, Associate Professor

  • 2016.04.01 - , Department of Systems Innovation, Graduate School of Engineering Science, Professor

Education 【 display / non-display

The University of Tokyo Graduate School, Division of Mathematical Sciences  Unfinished Ph.D (Mathematical Sciences) 2009.12
 

Academic Papers 【 display / non-display

  • Short-Term At-the-Money Asymptotics under Stochastic Volatility Models, Omar El Euch, Masaaki Fukasawa, Jim Gatheral, Mathieu Rosenbaum, SIAM Journal of Financial Mathematics,10(2) 491-511, 2019.04, Papers

  • Local asymptotic normality property for fractional Gaussian noise under high-frequency observations, Alexandre Brouste, Masaaki Fukasawa, The Annals of Statistics,46(5) 2045-2061, 2018.10, Papers

  • Equilibrium returns with transaction costs, Bruno Bouchard, Masaaki Fukasawa, Martin Herdegen, Johannes Muhle-Karbe, Finance and Stochastics,22(3) 569-601, 2018.07, Papers

  • Perfect hedging under endogenous permanent market impacts, Masaaki Fukasawa, Mitja Stadje, Finance and Stochastics,22(2) 417-442, 2018.04, Papers

  • The microstructual foundations of leverage effect and rough volatility, Omar El Euch, Masaaki Fukasawa, Mathieu Rosenbaum, Finance and Stochastics,22(2) 241-280, 2018.04, Papers

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Awards 【 display / non-display

  • TAKEBE prize, Masaaki Fukasawa, Mathematical Society of Japan, 2010.09