[1] Edgeworth expansion for ergodic diffusions, Probab. Theory Relat. Fields 142 (2008), 1-20. minor typo

[2] 実現ボラティリティの漸近分布について, 統計数理 Proc. Inst. Stat. Math. 57 (2009), no.1, 3-16.

[3] 離散ヘッジ戦略の漸近有効性, 金融工学研究所懸賞論文集 (2009).

[4] Central limit theorem for the realized volatility based on tick time sampling, Finance Stoch. 14 (2010), 209-233.

[5] Realized volatility with stochastic sampling, Stochastic Process. Appl. 120 (2010), 829-852.

[6] Asymptotic analysis for stochastic volatility: Edgeworth expansion, Electronic J. Probab. 16 (2011), 764-791.

[7] Asymptotic analysis for stochastic volatility: martingale expansion, Finance Stoch. 15 (2011), 635-654.

[8] Discretization error of stochastic integrals, Ann. Appl. Probab. 21 (2011), 1436-1465.

[9] Asymptotically efficient discrete hedging, Stochastic Analysis with Financial Applications, Progress in Probability 65 (2011), 331-346.

[10] (with I. Ishida, N. Maghrebi, K. Oya, M. Ubukata and K. Yamazaki) Model-free implied volatility: from surface to index, IJTAF 14 (2011), no.4, 433-463.

[11] The normalizing transformation of the implied volatility smile, Math. Finance 22 (2012) 753-762.
-- a preliminary version: Normalization for implied volatility, arXiv:1008.5055

[12] (with M. Rosenbaum) Central limit theorems for realized volatility under hitting times of an irregular grid, Stochastic Process. Appl. 122 (2012), 3901-3920.

[13] Conservative delta hedging under transaction costs, Recent Advances In Financial Engineering 2011, 55-72, World Scientific (2012).

[14] Limit theorems for random walks under irregular conductance, Proc. Japan Acad. Ser. A Math. Sci. 89 (2013), no. 8, 87–91.

[15] (with T. Arai) Convex risk measures for good deal bounds, Math. Finance 24 (2014), 464-484.

[16] Efficient discretization of stochastic integrals, Finance Stoch. 18 (2014), 175-208.

[17] Volatility derivatives and model-free implied leverage, IJTAF 17 (2014), no.1, 1450002.

[18] (with A. Brouste, H. Hino, S. Iacus, K. Kamatani, Y. Koike, H. Masuda, R. Nomura, T. Ogihara, Y. Shimizu, M. Uchida and N. Yoshida) The YUIMA project: a computational framework for simulation and inference of stochastic differential equations, Journal of Statistical Software 57 (2014), Issue 4.

[19] (with J. Cai, M. Rosenbaum and P. Tankov) Optimal discretization of hedging strategies with directional views, SIAM J. Finan. Math. 7 (2016), 34-69.

[20] (with J. Cai) Asymptotic replication with modified volatility under small transaction costs, Finance Stoch. 20 (2016), 381-431.

[21] Short-time at-the-money skew and rough fractional volatility, Quant. Finance 17 (2017), No. 2, 189–198.

[22] 高頻度データに対する Whittle 推定, 統計数理 Proc. Inst. Stat. Math. 65 (2017), no.1, 71-85.

[23] (with O. El Euch and M. Rosenbaum) The microstructual foundations of leverage effect and rough volatility, Finance Stoch. 22 (2018), 241-280.

[24] (with M. Stadje) Perfect hedging under endogenous permanent market impacts, Finance Stoch. 22 (2018), 417-442.

[25] (with B. Bouchard, M. Herdegen and J. Muhle-Karbe) Equilibrium returns with transaction costs, Finance Stoch. 22 (2018), 569-601.

[26] (with A. Brouste) Local asymptotic normality property for fractional Gaussian noise under high-frequency observations, Ann. Statist. 46 (2018), 2045-2061.

[27] (with O. El Euch, J. Gatheral and M. Rosenbaum) Short-term at-the-money asymptotics under stochastic volatility models, SIAM J. Finan. Math. 10 (2019), 491-511.

[28] (with T. Takabatake) Asymptotically efficient estimators for self-similar stationary Gaussian noises under high frequency observations, Bernoulli 25 (2019), 1870-1900.

[29] (with J. Obloj) Efficient discretisation of stochastic differential equations, Stochastics 92 (2020), 833-851.

[30] (with E. Alos) The asymptotic expansion of the regular discretization error of Itô integrals, Math. Finance 31 (2021), 323-365.

[31] Volatility has to be rough, Quant. Finance 21 (2021), 1-8.

[32] EM algorithm for stochastic hybrid systems, Stat. Inference Stoch. Process. 24 (2021), 223-239.

[33] (with A. Hirano) Refinement by reducing and reusing random numbers of the Hybrid scheme for Brownian semistationary processes, Quant. Finance 21 (2021), 1127-1146.

[34] (with K. Matsushita) Realized cumulants for martingales, Electron. Commun. Probab. 26 (2021), article no. 12, 1-10.

[35] (with M. Ikeda) A new discretization scheme for one dimensional stochastic differential equations using time change method, Electron. Commun. Probab. 26 (2021), article no. 51, 1-12.

[36] (with M. Ohnishi and M. Shimoshimizu) Discrete–time optimal execution under a generalized price impact model with Markovian exogenous orders, IJTAF 24 (2021), no. 5, 2150025.

[37] (with H. Maeda and J. Sekine) On optimal thresholds for pairs trading in a one-dimensional diffusion model, ANZIAM J. 63 (2021), 104-122.

[38] (with J. Gatheral) A rough SABR formula, Frontiers of Mathematical Finance, 1 (2022), 81-97.

[39] (with M. Forde, S. Gerhold and B. Smith) The Riemann-Liouville field and its GMC as H -> 0, and skew flattening for the rough Bergomi model, Statistics & Probability Letters 181 (2022), 109265.

[40] (with C. Bayer and S. Nakahara) On the weak convergence rate in the discretization of rough volatility models, SIAM J. Finan. Math. 13 (2022), SC66-SC73.

[41] (with H. Chau and M. Rasonyi) Super-replication with transaction costs under model uncertainty for continuous processes, Math. Finance 32 (2022), 1066-1085.

[42] (with T. Takabatake and R. Westphal) Consistent estimation for fractional stochastic volatility model under high-frequency asymptotics (Is Volatility Rough ?), Math. Finance 32 (2022), 1086-1132. Online suppplement

[43] On asymptotically arbitrage-free approximations of the implied volatility, Frontiers of Mathematical Finance 1 (2022), 525-537.

[44] (with B. Maire and M. Wunsch) Weighted variance swaps hedge against impermanent loss, Quant. Finance 23 (2023), 901-911.

[45] Wiener spiral for volatility modeling, Theory of Probability & Its Applications 68 (2023), 481-500.

[46] (with C. Bayer, P. Friz, J. Gatheral, A. Jacquier and M. Rosenbaum) Rough volatility, SIAM (2023).

[47] (with T. Ugai) Limit distributions for the discretization error of stochastic Volterra equations with fractional kernel, Ann. Appl. Probab. 33 (2023), 5071-5110.

[48] (with R. Takano) A partial rough path space for rough volatility, Electronic J. Probab. 29 (2024), 1-28.

[49] (with T. Ogihara) Malliavin calculus techniques for local asymptotic mixed normality and their application to hypoelliptic diffusions, Bernoulli 30 (2024), 983-1006.

[50] (with K. Iida) Short-time asymptotic behavior of the Brox diffusion, Electron. Commun. Probab. 29 (2024), 1-12.

[51] (with M. Ando) When to efficiently rebalance a portfolio, Quant. Finance 24 (2024), 1235-1245

[52] (with B. Maire and M. Wunsch) Model-free hedging of impermanent loss in geometric mean market makers, Applied Math. Finance 31 (2024), 108-129.

[53] (with P. Bras) Weak error rates for numerical schemes of non-singular stochastic Volterra equations with application to stochastic volatility models, SIAM J. Finan. Math. 16 (2025), 1-28.

[54] (with B. Maire and M. Wunsch) Liquidity provision of utility indifference type in decentralized exchanges, to appear in Digital Finance.

[Education]

1997 Apr - 2000 Mar / Kunitachi Senior High School / 東京都立国立高校

2000 Apr - 2002 Mar / College of Arts and Sciences, The University of Tokyo / 東京大学教養学部理科II類

2002 Apr - 2004 Mar / Department of Mathematics, The University of Tokyo / 東京大学理学部数学科

2004 Apr - 2007 Dec / Graduate School of Mathematical Sciences, The University of Tokyo / 東京大学大学院数理科学研究科



[Awards]

2009 Dec / Ph.D in Mathematical Sciences, The University of Tokyo / 博士（数理科学）東京大学

2010 Sep / Takebe prize, The Mathematical Society of Japan / 日本数学会賞建部賢弘賞奨励賞



[Employment]

2006 Apr - 2007 Dec / JSPS research fellow (DC1), The University of Tokyo

2007 Dec - 2010 Dec / Assistant Professor, Center for the Study of Finance and Insurance, The University of Osaka

2010 Dec - 2011 May / Researcher, FIM, ETH Zurich

2011 Jun - 2016 Mar / Associate Professor, Department of Mathematics, The University of Osaka

2016 Apr - present / Professor, Graduate School of Engineering Science, The University of Osaka



[Editorial service]

2011 Jun - 2018 Jun / Associate Editor of Finance and Stochastics, Springer

2013 Jan - 2022 Dec / Managing Editor of Quantitative Finance, Taylor and Francis

2014 Apr - 2018 Dec / Associate Editor of Japan Journal of Industrial and Applied Mathematics, Springer

2016 Dec - present / Editorial board member of Asymptotic Analysis, IOP Press

2017 Jan - 2019 Dec / Associate Editor of SIAM Journal of Financial Mathematics, SIAM

2017 Oct - present / Co-Editor of Osaka Journal of Mathematics, The University of Osaka and Osaka Metropolitan University

2018 Jul - present / Co-Editor of Finance and Stochastics, Springer

2023 Jan - present / Associate Editor of Quantitative Finance, Taylor and Francis