| The microstructural foundations of leverage effect and rough volatility O El Euch, M Fukasawa, M Rosenbaum Finance and Stochastics 22, 241-280, 2018 | 193 | 2018 |
| Asymptotic analysis for stochastic volatility: martingale expansion M Fukasawa Finance and Stochastics 15, 635-654, 2011 | 183 | 2011 |
| Volatility has to be rough M Fukasawa Quantitative finance 21 (1), 1-8, 2021 | 124 | 2021 |
| Short-time at-the-money skew and rough fractional volatility M Fukasawa Quantitative Finance 17 (2), 189-198, 2017 | 124 | 2017 |
| The yuima project: A computational framework for simulation and inference of stochastic differential equations A Brouste, M Fukasawa, H Hino, S Iacus, K Kamatani, Y Koike, H Masuda, ... Journal of statistical software 57, 1-51, 2014 | 108 | 2014 |
| Is volatility rough? M Fukasawa, T Takabatake, R Westphal arXiv preprint arXiv:1905.04852, 2019 | 77 | 2019 |
| Realized volatility with stochastic sampling M Fukasawa Stochastic processes and their Applications 120 (6), 829-852, 2010 | 69 | 2010 |
| Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics M Fukasawa, T Takabatake, R Westphal Mathematical Finance 32 (4), 1086-1132, 2022 | 56 | 2022 |
| Short-term at-the-money asymptotics under stochastic volatility models OE Euch, M Fukasawa, J Gatheral, M Rosenbaum SIAM Journal on Financial Mathematics 10 (2), 491-511, 2019 | 54 | 2019 |
| Equilibrium returns with transaction costs B Bouchard, M Fukasawa, M Herdegen, J Muhle-Karbe Finance and Stochastics 22, 569-601, 2018 | 50 | 2018 |
| Local asymptotic normality property for fractional Gaussian noise under high-frequency observations A Brouste, M Fukasawa | 45 | 2018 |
| Central limit theorems for realized volatility under hitting times of an irregular grid M Fukasawa, M Rosenbaum Stochastic processes and their applications 122 (12), 3901-3920, 2012 | 43 | 2012 |
| Discretization error of stochastic integrals M Fukasawa | 41 | 2011 |
| The normalizing transformation of the implied volatility smile M Fukasawa Mathematical Finance: An International Journal of Mathematics, Statistics …, 2012 | 40 | 2012 |
| Central limit theorem for the realized volatility based on tick time sampling M Fukasawa Finance and Stochastics 14, 209-233, 2010 | 39 | 2010 |
| Model-free implied volatility: from surface to index M Fukasawa, I Ishida, N Maghrebi, K Oya, M Ubukata, K Yamazaki International Journal of Theoretical and Applied Finance 14 (04), 433-463, 2011 | 36 | 2011 |
| Convex risk measures for good deal bounds T Arai, M Fukasawa Mathematical Finance 24 (3), 464-484, 2014 | 30 | 2014 |
| A rough SABR formula M Fukasawa, J Gatheral arXiv preprint arXiv:2105.05359, 2021 | 28 | 2021 |
| Asymptotically efficient discrete hedging M Fukasawa Stochastic Analysis with Financial Applications: Hong Kong 2009, 331-346, 2011 | 26 | 2011 |
| Rough volatility C Bayer, PK Friz, M Fukasawa, J Gatheral, A Jacquier, M Rosenbaum Society for Industrial and Applied Mathematics, 2023 | 25 | 2023 |
