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Stochastic process
Volatilität
27
Volatility
25
Stochastischer Prozess
22
Theorie
21
Theory
21
Option pricing theory
17
Optionspreistheorie
17
Derivat
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stochastic volatility
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Stochastic volatility
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Mathematical programming
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Mathematische Optimierung
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Systemic risk measures
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Arbitrage
2
Arbitrage Pricing
2
Arbitrage pricing
2
Calibration
2
Correlation
2
Credit risk
2
Derivat <Wertpapier>
2
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English
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Fouque, Jean-Pierre
22
Sircar, Kaushik Ronnie
6
Papanicolaou, George
5
Sircar, Ronnie
5
Lorig, Matthew
4
Sølna, Knut
3
Bichuch, Maxim
2
Carmona, René
1
Hu, Ruimeng
1
Jaimungal, Sebastian
1
Papanicolaou, Andrew
1
Pun, Chi Seng
1
Saporito, Y. F.
1
Saporito, Yuri F.
1
Solna, Knut
1
Tashman, Adam P.
1
Vestal, Douglas
1
Wignall, Brian C.
1
Wong, Hoi Ying
1
Zariphopoulou, Thaleia
1
Zariphopoulou-Souganidis, Thaleia
1
Zhou, Xianwen
1
Zubelli, Jorge P.
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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
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The journal of computational finance
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ECONIS (ZBW)
22
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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
Derivatives in financial markets with stochastic volatility
Fouque, Jean-Pierre
;
Papanicolaou, George
;
Sircar, …
-
2000
Persistent link: https://www.econbiz.de/10001464269
Saved in:
8
Multiscale stochastic volatility for equity, interest rate, and credit derivatives
Fouque, Jean-Pierre
;
Papanicolaou, George
;
Sircar, …
-
2011
-
1. publ.
Persistent link: https://www.econbiz.de/10009316567
Saved in:
9
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:
10
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
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