Works matching AU FOUQUE, JEAN-PIERRE
Results: 26
Financial Modeling in a Fast Mean-Reverting Stochastic Volatility Environment.
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- Asia-Pacific Financial Markets, 1999, v. 6, n. 1, p. 37, doi. 10.1023/A:1010010626460
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- Article
Variance reduction for Monte Carlo methods to evaluate option prices under multi-factor stochastic volatility models.
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- Quantitative Finance, 2004, v. 4, n. 5, p. 597, doi. 10.1080/14697680400000041
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- Article
Pricing Asian options with stochastic volatility.
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- Quantitative Finance, 2003, v. 3, n. 5, p. 353, doi. 10.1088/1469-7688/3/5/301
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- Article
Variance reduction for Monte Carlo simulation in a stochastic volatility environment.
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- Quantitative Finance, 2002, v. 2, n. 1, p. 24, doi. 10.1088/1469-7688/2/1/302
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- Article
On fairness of systemic risk measures.
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- Finance & Stochastics, 2020, v. 24, n. 2, p. 513, doi. 10.1007/s00780-020-00417-4
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- Article
Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration.
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- Finance & Stochastics, 2016, v. 20, n. 3, p. 543, doi. 10.1007/s00780-016-0298-y
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- Article
Interacting particle systems for the computation of rare credit portfolio losses.
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- Finance & Stochastics, 2009, v. 13, n. 4, p. 613, doi. 10.1007/s00780-009-0098-8
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- Article
Maturity cycles in implied volatility.
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- Finance & Stochastics, 2004, v. 8, n. 4, p. 451, doi. 10.1007/s00780-004-0126-7
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- Article
Systemic Risk and Stochastic Games with Delay.
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- Journal of Optimization Theory & Applications, 2018, v. 179, n. 2, p. 366, doi. 10.1007/s10957-018-1267-8
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- Article
MULTISCALE STOCHASTIC VOLATILITY MODEL FOR DERIVATIVES ON FUTURES.
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- International Journal of Theoretical & Applied Finance, 2014, v. 17, n. 7, p. -1, doi. 10.1142/S0219024914500435
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Optimal investment with correlated stochastic volatility factors.
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- Mathematical Finance, 2023, v. 33, n. 2, p. 342, doi. 10.1111/mafi.12371
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- Article
Optimal portfolio under fractional stochastic environment.
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- Mathematical Finance, 2019, v. 29, n. 3, p. 697, doi. 10.1111/mafi.12195
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A unified approach to systemic risk measures via acceptance sets.
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- Mathematical Finance, 2019, v. 29, n. 1, p. 329, doi. 10.1111/mafi.12170
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- Article
PORTFOLIO OPTIMIZATION AND STOCHASTIC VOLATILITY ASYMPTOTICS.
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- Mathematical Finance, 2017, v. 27, n. 3, p. 704, doi. 10.1111/mafi.12109
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- Article
Stochastic Volatility Corrections for Interest Rate Derivatives.
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- Mathematical Finance, 2004, v. 14, n. 2, p. 173, doi. 10.1111/j.0960-1627.2004.00188.x
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- Article
Option pricing under a stressed-beta model.
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- Annals of Finance, 2012, v. 8, n. 2/3, p. 183, doi. 10.1007/s10436-009-0141-y
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Diversity and arbitrage in a regulatory breakup model.
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- Annals of Finance, 2011, v. 7, n. 3, p. 349, doi. 10.1007/s10436-010-0175-1
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- Article
Mean Field Game with Delay: A Toy Model.
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- Risks, 2018, v. 6, n. 3, p. 90, doi. 10.3390/risks6030090
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- Article
Option pricing under hybrid stochastic and local volatility.
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- Quantitative Finance, 2013, v. 13, n. 8, p. 1157, doi. 10.1080/14697688.2013.780209
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- Article
Portfolio Optimization under Fast Mean-Reverting and Rough Fractional Stochastic Environment.
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- Applied Mathematical Finance, 2018, v. 25, n. 4, p. 361, doi. 10.1080/1350486X.2019.1584532
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- Article
Calibration of Stock Betas from Skews of Implied Volatilities.
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- Applied Mathematical Finance, 2011, v. 18, n. 2, p. 119, doi. 10.1080/1350486X.2010.481175
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- Article
Stochastic Volatility Effects on Defaultable Bonds.
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- Applied Mathematical Finance, 2006, v. 13, n. 3, p. 215, doi. 10.1080/13504860600563127
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- Article
Unified reinforcement Q-learning for mean field game and control problems.
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- Mathematics of Control, Signals & Systems, 2022, v. 34, n. 2, p. 217, doi. 10.1007/s00498-021-00310-1
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- Article
Systemic risk models for disjoint and overlapping groups with equilibrium strategies.
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- Statistics & Risk Modeling, 2023, v. 40, n. 1/2, p. 21, doi. 10.1515/strm-2022-0004
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From the Implied Volatility Skew to a Robust Correction to Black-Scholes American Option Prices.
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- International Journal of Theoretical & Applied Finance, 2001, v. 4, n. 4, p. 651, doi. 10.1142/S0219024901001139
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- Article
Mean-Reverting Stochastic Volatility.
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- International Journal of Theoretical & Applied Finance, 2000, v. 3, n. 1, p. 101, doi. 10.1142/S0219024900000061
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- Article