Conservative Delta hedging under transaction costs

von Fukasawa, Masaaki
Veröffentlicht in Recent advances in financial engineering 2011: proceedings of the International Workshop on Finance 2011 (2012)

Efficient discretization of stochastic integrals

von Fukasawa, Masaaki
Veröffentlicht in Finance and stochastics (2014)

Central limit theorem for the realized volatility based on the tick time sampling

von Fukasawa, Masaaki
Veröffentlicht in Finance and stochastics (2010)

Asymptotic analysis for stochastic volatility : martingale expansion

von Fukasawa, Masaaki
Veröffentlicht in Finance and stochastics (2011)

The normalizing transformation of the implied volatility smile

von Fukasawa, Masaaki
Veröffentlicht in Mathematical finance (2012)

Volatility derivatives and model-free implied leverage

von Fukasawa, Masaaki
Veröffentlicht in International journal of theoretical and applied finance (2014)

Asymptotic replication with modified volatility under small transaction costs

von Cai, Jiatu
Veröffentlicht in Finance and stochastics (2016)

Convex risk measures for good deal bounds

von Arai, Takuji
Veröffentlicht in Mathematical finance (2014)

Perfect hedging under endogenous permanent market impacts

von Fukasawa, Masaaki
Veröffentlicht in Finance and stochastics (2018)

Discrete-time optimal execution under a generalized price impact model with Markovian exogenous orders

von Fukasawa, Masaaki
Veröffentlicht in International journal of theoretical and applied finance (2021)

The microstructural foundations of leverage effect and rough volatility

von El Euch, Omar
Veröffentlicht in Finance and stochastics (2018)

Equilibrium returns with transaction costs

von Bouchard, Bruno
Veröffentlicht in Finance and stochastics (2018)

Model-free implied volatility : from surface to index

Veröffentlicht in International journal of theoretical and applied finance (2011)

Rough volatility

Veröffentlicht 2024