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~person:"Fouque, Jean-Pierre"
~subject:"Deregulation"
~subject:"Stochastischer Prozess"
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Deregulation
Stochastischer Prozess
Volatilität
28
Volatility
26
Stochastic process
21
Option pricing theory
14
Optionspreistheorie
14
Theorie
12
Theory
12
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8
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8
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6
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21
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Fouque, Jean-Pierre
Knieps, Günter
68
McAleer, Michael
66
Jamasb, Tooraj
41
Pollitt, Michael G.
40
Crew, Michael A.
39
Nicoletti, Giuseppe
38
Asai, Manabu
37
Koopman, Siem Jan
36
Chan, Joshua
34
Todorov, Viktor
34
Button, Kenneth John
33
Cui, Zhenyu
33
Kleindorfer, Paul R.
31
Welfens, Paul J. J.
31
Levine, Ross
30
Chiarella, Carl
29
Newbery, David M. G.
28
Kumkar, Lars
27
Clark, Todd E.
25
Mumtaz, Haroon
25
Duval, Romain
24
Escobar, Marcos
24
Nepal, Rabindra
24
Barndorff-Nielsen, Ole E.
23
Borenstein, Severin
23
Shephard, Neil G.
23
Tauchen, George Eugene
23
Cacciatore, Matteo
22
Giavazzi, Francesco
22
Joskow, Paul L.
22
Andersen, Torben
21
Fiori, Giuseppe
21
Knorr, Andreas
21
Florio, Massimo
20
Hüschelrath, Kai
20
Winston, Clifford
20
Carriero, Andrea
19
Crandall, Robert W.
19
Ghironi, Fabio
19
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Finance and stochastics
3
Applied mathematical finance
2
International journal of theoretical and applied finance
2
Annals of finance
1
Mathematical finance : an international journal of mathematics, statistics and financial economics
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
Quantitative finance
1
The journal of computational finance
1
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ECONIS (ZBW)
21
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1
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21
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1
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:
2
Modeling correlated defaults : first passage model under stochastic
volatility
Fouque, Jean-Pierre
;
Wignall, Brian C.
;
Zhou, Xianwen
- In:
The journal of computational finance
11
(
2007/08
)
3
,
pp. 43-78
Persistent link: https://www.econbiz.de/10003699972
Saved in:
3
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:
4
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:
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
Maturity cycles in implied
volatility
Fouque, Jean-Pierre
;
Papanicolaou, George
;
Sircar, Ronnie
; …
- In:
Finance and stochastics
8
(
2004
)
4
,
pp. 451-477
Persistent link: https://www.econbiz.de/10002261414
Saved in:
8
Mean-reverting stochastic
volatility
Fouque, Jean-Pierre
;
Papanicolaou, George
;
Sircar, …
- In:
International journal of theoretical and applied finance
3
(
2000
)
1
,
pp. 101-142
Persistent link: https://www.econbiz.de/10001488358
Saved in:
9
Derivatives in financial markets with stochastic
volatility
Fouque, Jean-Pierre
;
Papanicolaou, George
;
Sircar, …
-
2000
Persistent link: https://www.econbiz.de/10001464269
Saved in:
10
Spectral Decomposition of Option
Prices
in Fast Mean-Reverting Stochastic
Volatility
Models
Fouque, Jean-Pierre
-
2015
the
prices
of a variety of European and path-dependent options in a fast mean-reverting stochastic
volatility
setting. Our …
volatility
setting in which the Brownian motions driving the stock and
volatility
are correlated …
Persistent link: https://www.econbiz.de/10013038663
Saved in:
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