Fukasawa Masaaki

フカサワマサアキ | Fukasawa Masaaki

Affiliation and department：
Job title： Professor
Other affiliations (1)：

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

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Papers (49)：

Masaaki Fukasawa, Basile Maire, Marcus Wunsch. Model-Free Hedging of Impermanent Loss in Geometric Mean Market Makers with Proportional Transaction Fees. Applied Mathematical Finance. 2024
Masaaki Fukasawa, Kota Iida. Short-time asymptotic behavior of the Brox diffusion. Electronic Communications in Probability. 2024. 29. 1-12
Masayuki Ando, Masaaki Fukasawa. When to efficiently rebalance a portfolio. Quantitative Finance. 2024. 24. 9. 1235-1245
Masaaki Fukasawa, Teppei Ogihara. Malliavin calculus techniques for local asymptotic mixed normality and their application to hypoelliptic diffusions. Bernoulli. 2024. 30. 2. 983-1006
Masaaki Fukasawa, Ryoji Takano. A partial rough path space for rough volatility. Electronic Journal of Probability. 2024. 29. 1-28

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MISC (5)：

M. Fukasawa. Wiener Spiral for Volatility Modeling. Theory of Probability & Its Applications. 2023. 68. 3. 481-500
Masaaki FUKASAWA, Masamitsu OHNISHI, Makoto SHIMOSHIMIZU. Optimal execution under a generalized price impact model with Markovian exogenous orders in a continuous-time setting. 数理解析研究所講究録. 2021. 2207. 1-22
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
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
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)：

Lectures and oral presentations (38)：

Realized cumulants for martingales
(30th birthday of the Laboratoire Manceau de Mathématiques : Probability - Statistics- Risk (Le Mans) 2024)
Backward stochastic difference equations on lattices with application to market equilibrium analysis
(Winter Workshop in Finance (Otaru) 2024)
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 (東京) 2024)
Limit distributions for the discretization error of stochastic Volterra equations with fractional kernel
(Workshop on Stochastics, Memory and Roughness 2024 (Oslo) 2024)
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 (熊本) 2023)

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Education (2)：

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 Assistant Professor

Committee career (8)：

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Awards (1)：

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