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Jean-Pierre Fouque
Jean-Pierre Fouque
Verified email at pstat.ucsb.edu - Homepage
Title
Cited by
Cited by
Year
Derivatives in financial markets with stochastic volatility
JP Fouque, G Papanicolaou, KR Sircar
Cambridge University Press, 2000
15422000
Wave propagation and time reversal in randomly layered media
JP Fouque, J Garnier, G Papanicolaou, K Solna
Springer Science & Business Media, 2007
5092007
Multiscale stochastic volatility for equity, interest rate, and credit derivatives
JP Fouque, G Papanicolaou, R Sircar, K Sølna
Cambridge University Press, 2011
3612011
Mean field games and systemic risk
R Carmona, JP Fouque, LH Sun
arXiv preprint arXiv:1308.2172, 2013
3332013
Multiscale stochastic volatility asymptotics
JP Fouque, G Papanicolaou, R Sircar, K Solna
Multiscale Modeling & Simulation 2 (1), 22-42, 2003
2812003
Mean-reverting stochastic volatility
JP Fouque, G Papanicolaou, KR Sircar
International Journal of theoretical and applied finance 3 (01), 101-142, 2000
2522000
Singular perturbations in option pricing
JP Fouque, G Papanicolaou, R Sircar, K Solna
SIAM Journal on Applied Mathematics 63 (5), 1648-1665, 2003
2482003
Handbook on systemic risk
JP Fouque, JA Langsam
Cambridge University Press, 2013
1492013
A unified approach to systemic risk measures via acceptance sets
F Biagini, JP Fouque, M Frittelli, T Meyer‐Brandis
Mathematical Finance 29 (1), 329-367, 2019
1362019
Stochastic volatility effects on defaultable bonds
JP Fouque, R Sircar, K S⊘ lna
Applied Mathematical Finance 13 (3), 215-244, 2006
1142006
Portfolio optimization and stochastic volatility asymptotics
JP Fouque, R Sircar, T Zariphopoulou
Mathematical Finance 27 (3), 704-745, 2017
1092017
Hydrodynamical limit for the asymmetric simple exclusion process
A Benassi, JP Fouque
The Annals of Probability, 546-560, 1987
1091987
A time-reversal method for an acoustical pulse propagating in randomly layered media
JF Clouet, JP Fouque
Wave Motion 25 (4), 361-368, 1997
1041997
Portfolio optimization with ambiguous correlation and stochastic volatilities
JP Fouque, CS Pun, HY Wong
SIAM Journal on Control and Optimization 54 (5), 2309-2338, 2016
1012016
Pricing Asian options with stochastic volatility
JP Fouque, CH Han
Quantitative Finance 3 (5), 353, 2003
982003
Stability in a model of interbank lending
JP Fouque, T Ichiba
SIAM Journal on Financial Mathematics 4 (1), 784-803, 2013
922013
Short time-scale in S&P500 volatility
JP Fouque, G Papanicolaou, R Sircar, K Solna
Journal of Computational Finance 6 (4), 1-24, 2003
912003
Short-maturity asymptotics for a fast mean-reverting Heston stochastic volatility model
J Feng, M Forde, JP Fouque
SIAM Journal on Financial Mathematics 1 (1), 126-141, 2010
842010
Systemic risk and stochastic games with delay
R Carmona, JP Fouque, SM Mousavi, LH Sun
Journal of Optimization Theory and Applications 179, 366-399, 2018
822018
Network models and systemic risk assessment
H Elsinger, A Lehar, M Summer
Handbook on Systemic Risk 1 (1), 287-305, 2013
812013
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