Zobrazeno 1 - 10
of 170
pro vyhledávání: '"Fukasawa, Masaaki"'
Backward stochastic difference equations on lattices with application to market equilibrium analysis
We study backward stochastic difference equations (BS{\Delta}E) driven by a d-dimensional stochastic process on a lattice whose increments have only d + 1 possible values that generates the lattice. Regarding the driving process as a d dimensional as
Externí odkaz:
http://arxiv.org/abs/2312.10883
Autor:
Ando, Masayuki, Fukasawa, Masaaki
A constant weight asset allocation is a popular investment strategy and is optimal under a suitable continuous model. We study the tracking error for the target continuous rebalancing strategy by a feasible discrete-in-time rebalancing under a genera
Externí odkaz:
http://arxiv.org/abs/2308.08745
Autor:
Fukasawa, Masaaki, Hirokane, Mikio
We study the limit of the joint distribution of a multidimensional Generalized Tempered Stable (GTS) process and its quadratic covariation process when the stable index tends to two. Under a proper scaling, the GTS processes converges to a Brownian m
Externí odkaz:
http://arxiv.org/abs/2305.02733
We consider Geometric Mean Market Makers -- a special type of Decentralized Exchange -- with two types of users: liquidity takers and arbitrageurs. Liquidity takers trade at prices that can create arbitrage opportunities, while arbitrageurs align the
Externí odkaz:
http://arxiv.org/abs/2303.11118
Autor:
Fukasawa, Masaaki, Takano, Ryoji
We develop a variant of rough path theory tailor-made for analyzing a class of financial asset price models known as rough volatility models. As an application, we prove a pathwise large deviation principle (LDP) for a certain class of rough volatili
Externí odkaz:
http://arxiv.org/abs/2205.09958
We study the weak convergence rate in the discretization of rough volatility models. After showing a lower bound $2H$ under a general model, where $H$ is the Hurst index of the volatility process, we give a sharper bound $H + 1/2$ under a linear mode
Externí odkaz:
http://arxiv.org/abs/2203.02943
Autor:
Fukasawa, Masaaki
Following-up Fukasawa and Gatheral (Frontiers of Mathematical Finance, 2022), we prove that the BBF formula, the SABR formula, and the rough SABR formula provide asymptotically arbitrage-free approximations of the implied volatility under, respective
Externí odkaz:
http://arxiv.org/abs/2201.02752
Autor:
Fukasawa, Masaaki, Ugai, Takuto
Our study aims to specify the asymptotic error distribution in the discretization of a stochastic Volterra equation with a fractional kernel. It is well-known that for a standard stochastic differential equation, the discretization error, normalized
Externí odkaz:
http://arxiv.org/abs/2112.06471
Autor:
Fukasawa, Masaaki, Gatheral, Jim
Following an approach originally suggested by Balland in the context of the SABR model, we derive an ODE that is satisfied by normalized volatility smiles for short maturities under a rough volatility extension of the SABR model that extends also the
Externí odkaz:
http://arxiv.org/abs/2105.05359
In this chapter we first briefly review the existing approaches to hedging in rough volatility models. Next, we present a simple but general result which shows that in a one-factor rough stochastic volatility model, any option may be perfectly hedged
Externí odkaz:
http://arxiv.org/abs/2105.04073