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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
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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
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Financial modeling in a fast mean-reverting stochastic volatility environment
Fouque, Jean-Pierre; Papanicolaou, George; Sircar, … - In: Asia-Pacific financial markets 6 (1999) 1, pp. 37-48
Persistent link: https://www.econbiz.de/10001506394
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Stochastic volatility, smile & asymptotics
Sircar, Kaushik Ronnie; Papanicolaou, George - In: Applied mathematical finance 6 (1999) 2, pp. 107-145
Persistent link: https://www.econbiz.de/10001449244
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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
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Short time-scale in S&P500 volatility
Fouque, Jean-Pierre; Papanicolaou, George; Sircar, Ronnie; … - In: The journal of computational finance 6 (2003) 4, pp. 1-23
Persistent link: https://www.econbiz.de/10001782169
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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
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From the implied volatility skew to a robust correction to Black-Scholes American option prices
Fouque, Jean-Pierre; Papanicolaou, George; Sircar, … - In: International journal of theoretical and applied finance 4 (2001) 4, pp. 651-675
Persistent link: https://www.econbiz.de/10001600370
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Estimating the fractal dimension of the S&P 500 index using wavelet analysis
Bayraktar, Erhan; Poor, H.Vincent; Sircar, Kaushik Ronnie - In: International journal of theoretical and applied finance 7 (2004) 5, pp. 615-643
Persistent link: https://www.econbiz.de/10002171489
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Multiscale intensity models and name grouping for valuation of multi-name credit derivatives
Papageorgiou, Evan; Sircar, Kaushik Ronnie - In: Applied mathematical finance 16 (2009) 3/4, pp. 353-383
Persistent link: https://www.econbiz.de/10003916203