no code implementations • 17 Aug 2023 • Masayuki Ando, Masaaki Fukasawa
A constant weight asset allocation is a popular investment strategy and is optimal under a suitable continuous model.
no code implementations • 20 Mar 2023 • Masaaki Fukasawa, Basile Maire, Marcus Wunsch
We consider Geometric Mean Market Makers -- a special type of Decentralized Exchange -- with two types of users: liquidity takers and arbitrageurs.
no code implementations • 6 Mar 2022 • Christian Bayer, Masaaki Fukasawa, Shonosuke Nakahara
We study the weak convergence rate in the discretization of rough volatility models.
no code implementations • 8 Jan 2022 • Masaaki Fukasawa
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, respectively, the local volatility model, the SABR model, and the rough SABR model.
no code implementations • 11 May 2021 • Masaaki Fukasawa, Jim Gatheral
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 rough Bergomi model.
no code implementations • 10 May 2021 • Masaaki Fukasawa, Blanka Horvath, Peter Tankov
In this chapter we first briefly review the existing approaches to hedging in rough volatility models.
no code implementations • 3 Feb 2021 • Huy N. Chau, Masaaki Fukasawa, Miklos Rasonyi
We formulate a superhedging theorem in the presence of transaction costs and model uncertainty.
