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~person:"Fouque, Jean-Pierre"
~subject:"Volatility"
~type_genre:"Article in journal"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Bibliography included"
~type_genre:"Statistik"
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9
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Fouque, Jean-Pierre
McAleer, Michael
33
Bollerslev, Tim
28
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26
Kumar, Dilip
26
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26
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16
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15
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15
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14
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14
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14
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14
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14
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14
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13
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13
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13
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13
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13
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ECONIS (ZBW)
16
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1
Optimal investment with correlated stochastic volatility factors
Bichuch, Maxim
;
Fouque, Jean-Pierre
- In:
Mathematical finance : an international journal of …
33
(
2023
)
2
,
pp. 342-369
Persistent link: https://www.econbiz.de/10014278672
Saved in:
2
Portfolio optimization under fast mean-reverting and rough fractional stochastic environment
Fouque, Jean-Pierre
;
Hu, Ruimeng
- In:
Applied mathematical finance
25
(
2018
)
3/4
,
pp. 361-388
Persistent link: https://www.econbiz.de/10012129167
Saved in:
3
Portfolio optimization and stochastic volatility asymptotics
Fouque, Jean-Pierre
;
Sircar, Kaushik Ronnie
; …
- In:
Mathematical finance : an international journal of …
27
(
2017
)
3
,
pp. 704-745
Persistent link: https://www.econbiz.de/10011764969
Saved in:
4
Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options
Fouque, Jean-Pierre
;
Saporito, Y. F.
- In:
Quantitative finance
18
(
2018
)
6
,
pp. 1003-1016
Persistent link: https://www.econbiz.de/10011911259
Saved in:
5
Second order multiscale stochastic volatility asymptotics : stochastic terminal layer analysis and calibration
Fouque, Jean-Pierre
;
Lorig, Matthew
;
Sircar, Kaushik Ronnie
- In:
Finance and stochastics
20
(
2016
)
3
,
pp. 543-588
Persistent link: https://www.econbiz.de/10011530043
Saved in:
6
Multiscale stochastic volatility model for derivatives on futures
Fouque, Jean-Pierre
;
Saporito, Yuri F.
;
Zubelli, Jorge P.
- In:
International journal of theoretical and applied finance
17
(
2014
)
7
,
pp. 1-31
Persistent link: https://www.econbiz.de/10010498865
Saved in:
7
Stochastic volatility effects on defaultable bonds
Fouque, Jean-Pierre
;
Sircar, Kaushik Ronnie
;
Sølna, Knut
- In:
Applied mathematical finance
13
(
2006
)
3
,
pp. 215-244
Persistent link: https://www.econbiz.de/10003383651
Saved in:
8
Option pricing under a stressed-beta model
Fouque, Jean-Pierre
;
Tashman, Adam P.
- In:
Annals of finance
8
(
2012
)
2/3
,
pp. 183-203
Persistent link: https://www.econbiz.de/10009548095
Saved in:
9
Stochastic volatility corrections for interest rate derivatives
Cotton, Peter
;
Fouque, Jean-Pierre
;
Papanicolaou, George
; …
- In:
Mathematical finance : an international journal of …
14
(
2004
)
2
,
pp. 173-200
Persistent link: https://www.econbiz.de/10002032686
Saved in:
10
Interacting particle systems for the computation of rare credit portfolio losses
Carmona, René
;
Fouque, Jean-Pierre
;
Vestal, Douglas
- In:
Finance and stochastics
13
(
2009
)
4
,
pp. 613-633
Persistent link: https://www.econbiz.de/10003899538
Saved in:
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