Edit Profile (opens in new tab) Fouque, Jean-Pierre Co-Author Distance Author ID: fouque.jean-pierre Published as: Fouque, Jean-Pierre; Fouque, J. P.; Fouque, J.-P.; Fouque, Jean-pierre; Fouque, Jean Pierre more...less Documents Indexed: 98 Publications since 1980, including 3 Books 5 Contributions as Editor Co-Authors: 63 Co-Authors with 92 Joint Publications 1,108 Co-Co-Authors all top 5 Co-Authors 10 single-authored 15 Sircar, Ronnie 14 Papanicolaou, George C. 13 Sølna, Knut 9 Garnier, Josselin 7 Han, Chuan-Hsiang 7 Hu, Ruimeng 6 Nachbin, André 5 Carmona, René A. 5 Clouet, Jean-François 4 Frittelli, Marco 4 Sircar, K. Ronnie 3 Benassi, Albert 3 Biagini, Francesca 3 Ichiba, Tomoyuki 3 Lorig, Matthew J. 3 Meyer-Brandis, Thilo 3 Saporito, Yuri F. 2 Doldi, Alessandro 2 Feng, Jin 2 Feng, Yichen 2 Jaimungal, Sebastian 2 Merzbach, Ely 2 Papanicolaou, Andrew 2 Postel, Marie 2 Sun, Li-Hsien 1 Alfaro Vigo, Daniel G. 1 Angiuli, Andrea 1 Bichuch, Maxim 1 Chillan, J. 1 Choi, Sun-Yong 1 Cont, Rama 1 Cotton, Peter 1 Desantiago, Rafael 1 Detering, Nils 1 Fomby, Thomas B. 1 Forde, Martin 1 Graham, Carl 1 Haider, Mansoor A. 1 Hochberg, Kenneth J. 1 Kim, Jeong-Hoon 1 Kollman, Eli 1 Kumar, Rohini 1 Lai, Yongzeng 1 Langsam, Joseph A. 1 Lapeyre, Bernard 1 Laurière, Mathieu 1 Mehta, Kurang J. 1 Millet, Annie 1 Molina, German 1 Mousavi, Seyyed Mostafa 1 Ning, Ning 1 Poliannikov, Oleg V. 1 Pun, Chi Seng 1 Ren, Bin 1 Saada, Ellen 1 Samuelides, Yann 1 Strong, Winslow 1 Tashman, Adam P. 1 Tullie, Tracey Andrew 1 Vestal, Douglas 1 Wong, Hoi Ying 1 Zariphopoulou, Thaleia 1 Zhou, Xianwen 1 Zubelli, Jorge P. all top 5 Serials 9 SIAM Journal on Financial Mathematics 6 Quantitative Finance 5 Mathematical Finance 5 Multiscale Modeling & Simulation 4 Wave Motion 4 SIAM Journal on Applied Mathematics 4 Finance and Stochastics 3 SIAM Journal on Control and Optimization 3 The Annals of Applied Probability 3 Stochastic Processes and their Applications 3 Applied Mathematical Finance 3 International Journal of Theoretical and Applied Finance 3 Comptes Rendus Hebdomadaires des Séances de l’Académie des Sciences, Série A 2 Waves in Random Media 2 Mathematics and Computers in Simulation 2 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 2 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 2 Communications in Mathematical Sciences 2 Annals of Finance 1 Inverse Problems 1 The Annals of Probability 1 Journal of Multivariate Analysis 1 Journal of Optimization Theory and Applications 1 Physica D 1 Probability Theory and Related Fields 1 MCSS. Mathematics of Control, Signals, and Systems 1 Comptes Rendus de l’Académie des Sciences. Série I 1 Notices of the American Mathematical Society 1 Asia-Pacific Financial Markets 1 Israel Mathematical Conference Proceedings 1 NATO ASI Series. Series C. Mathematical and Physical Sciences 1 Advances in Econometrics 1 Stochastic Modelling and Applied Probability 1 Mathematics and Financial Economics 1 Statistics & Risk Modeling all top 5 Fields 62 Probability theory and stochastic processes (60-XX) 62 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 22 Partial differential equations (35-XX) 14 Fluid mechanics (76-XX) 11 Systems theory; control (93-XX) 10 Mechanics of deformable solids (74-XX) 8 Numerical analysis (65-XX) 6 General and overarching topics; collections (00-XX) 5 Statistics (62-XX) 4 Ordinary differential equations (34-XX) 4 Calculus of variations and optimal control; optimization (49-XX) 2 Optics, electromagnetic theory (78-XX) 2 Statistical mechanics, structure of matter (82-XX) 2 Operations research, mathematical programming (90-XX) 2 Information and communication theory, circuits (94-XX) 1 Combinatorics (05-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 79 Publications have been cited 1,659 times in 1,060 Documents Cited by ▼ Year ▼ Derivatives in financial markets with stochastic volatility. Zbl 0954.91025Fouque, Jean-Pierre; Papanicolaou, George; Sircar, K. Ronnie 303 2000 Multiscale stochastic volatility for equity, interest rate, and credit derivatives. Zbl 1248.91003Fouque, Jean-Pierre; Papanicolaou, George; Sircar, Ronnie; Sølna, Knut 145 2011 Wave propagation and time reversal in randomly layered media. Zbl 1386.74001Fouque, Jean-Pierre; Garnier, Josselin; Papanicolaou, George; Sølna, Knut 132 2007 Mean field games and systemic risk. Zbl 1337.91031Carmona, René; Fouque, Jean-Pierre; Sun, Li-Hsien 106 2015 Multiscale stochastic volatility asymptotics. Zbl 1074.91015Fouque, Jean-Pierre; Papanicolaou, George; Sircar, Ronnie; Solna, Knut 76 2004 Singular perturbations in option pricing. Zbl 1039.91024Fouque, J.-P.; Papanicolaou, G.; Sircar, R.; Solna, K. 76 2003 Mean-reverting stochastic volatility. Zbl 1153.91497Fouque, Jean-Pierre; Papanicolaou, George; Sircar, Ronnie 46 2000 Portfolio optimization and stochastic volatility asymptotics. Zbl 1377.91148Fouque, Jean-Pierre; Sircar, Ronnie; Zariphopoulou, Thaleia 38 2017 A unified approach to systemic risk measures via acceptance sets. Zbl 1411.91633Biagini, Francesca; Fouque, Jean-pierre; Frittelli, Marco; Meyer-brandis, Thilo 38 2019 Portfolio optimization with ambiguous correlation and stochastic volatilities. Zbl 1410.91415Fouque, Jean-Pierre; Pun, Chi Seng; Wong, Hoi Ying 37 2016 Short-maturity asymptotics for a fast mean-reverting Heston stochastic volatility model. Zbl 1203.91321Feng, Jin; Forde, Martin; Fouque, Jean-Pierre 33 2010 Stability in a model of interbank lending. Zbl 1295.91099Fouque, Jean-Pierre; Ichiba, Tomoyuki 28 2013 Small-time asymptotics for fast mean-reverting stochastic volatility models. Zbl 1266.60049Feng, Jin; Fouque, Jean-Pierre; Kumar, Rohini 27 2012 Hydrodynamical limit for the asymmetric simple exclusion process. Zbl 0623.60120Benassi, Albert; Fouque, Jean-Pierre 26 1987 Stochastic volatility effects on defaultable bonds. Zbl 1142.91523Fouque, Jean-Pierre; Sircar, Ronnie; Sølna, Knut 25 2006 Handbook on systemic risk. Zbl 1305.91014 25 2013 Stochastic volatility corrections for interest rate derivatives. Zbl 1124.91331Cotton, Peter; Fouque, Jean-Pierre; Papanicolaou, George; Sircar, Ronnie 22 2004 Spreading of a pulse travelling in random media. Zbl 0814.73018Clouet, J. F.; Fouque, J. P. 22 1994 Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration. Zbl 1369.91180Fouque, Jean-Pierre; Lorig, Matthew; Sircar, Ronnie 19 2016 Option pricing under hybrid stochastic and local volatility. Zbl 1281.91155Choi, Sun-Yong; Fouque, Jean-Pierre; Kim, Jeong-Hoon 19 2013 A fast mean-reverting correction to Heston’s stochastic volatility model. Zbl 1217.91189Fouque, Jean-Pierre; Lorig, Matthew J. 17 2011 Pricing Asian options with stochastic volatility. Zbl 1405.91615Fouque, Jean-Pierre; Han, Chuan-Hsiang 17 2003 A time-reversal method for an acoustical pulse propagating in randomly layered media. Zbl 0920.73051Clouet, J. F.; Fouque, J. P. 16 1997 Maturity cycles in implied volatility. Zbl 1063.91066Fouque, Jean-Pierre; Papanicolaou, George; Sircar, Ronnie; Solna, Knut 16 2004 Parabolic and Gaussian white noise approximation for wave propagation in random media. Zbl 0859.60061Bailly, F.; Clouet, J. F.; Fouque, J. P. 16 1996 Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options. Zbl 1400.91589Fouque, J.-P.; Saporito, Y. F. 16 2018 Optimal portfolio under fast mean-reverting fractional stochastic environment. Zbl 1410.91414Fouque, Jean-Pierre; Hu, Ruimeng 15 2018 Variance reduction for Monte Carlo methods to evaluate option prices under multi-factor stochastic volatility models. Zbl 1405.91692Fouque, Jean-Pierre; Han, Chuan-Hsiang 15 2004 La convergence en loi pour les processus à valeurs dans un espace nucléaire. Zbl 0545.60012Fouque, Jean-Pierre 14 1984 Systemic risk and stochastic games with delay. Zbl 1418.91062Carmona, René; Fouque, Jean-Pierre; Mousavi, Seyyed Mostafa; Sun, Li-Hsien 14 2018 Filtering and portfolio optimization with stochastic unobserved drift in asset returns. Zbl 1321.91109Fouque, Jean-Pierre; Papanicolaou, Andrew; Sircar, Ronnie 14 2015 Perturbation analysis for investment portfolios under partial information with expert opinions. Zbl 1414.91337Fouque, J.-P.; Papanicolaou, A.; Sircar, R. 13 2017 Approximation for option prices under uncertain volatility. Zbl 1341.60070Fouque, Jean-Pierre; Ren, Bin 13 2014 Asymptotic optimal strategy for portfolio optimization in a slowly varying stochastic environment. Zbl 1365.93542Fouque, Jean-Pierre; Hu, Ruimeng 11 2017 From the implied volatility skew to a robust correction to Black–Scholes American option prices. Zbl 1153.91495Fouque, Jean-Pierre; Papanicolaou, George; Sircar, K. Ronnie 11 2001 Interaction particle systems for the computation of rare credit portfolio losses. Zbl 1199.91248Carmona, René; Fouque, Jean-Pierre; Vestal, Douglas 11 2009 Financial modeling in a fast mean-reverting stochastic volatility environment. Zbl 1157.91358Fouque, Jean-Pierre; Papanicolaou, George; Sircar, K. Ronnie 11 1999 Time-reversal refocusing for point source in randomly layered media. Zbl 1189.76459Fouque, Jean-Pierre; Garnier, Josselin; Nachbin, André; Sølna, Knut 10 2005 Optimal portfolio under fractional stochastic environment. Zbl 1426.91245Fouque, Jean-pierre; Hu, Ruimeng 10 2019 Spectral decomposition of option prices in fast mean-reverting stochastic volatility models. Zbl 1255.91127Fouque, Jean-Pierre; Jaimungal, Sebastian; Lorig, Matthew J. 9 2011 A martingale control variate method for option pricing with stochastic volatility. Zbl 1182.91173Fouque, Jean-Pierre; Han, Chuan-Hsiang 8 2007 Forward and Markov approximation: The strong-intensity-fluctuations regime revisited. Zbl 0915.35119Fouque, J. P.; Papanicolaou, G.; Samuelides, Y. 8 1998 Time reversal for dispersive waves in random media. Zbl 1126.76011Fouque, Jean-Pierre; Garnier, Josselin; Nachbin, André 8 2004 On fairness of systemic risk measures. Zbl 1433.91188Biagini, Francesca; Fouque, Jean-Pierre; Frittelli, Marco; Meyer-Brandis, Thilo 7 2020 Asian options under multiscale stochastic volatility. Zbl 1120.91013Fouque, Jean-Pierre; Han, Chuan-Hsiang 7 2004 Time-reversal aperture enhancement. Zbl 1060.76103Fouque, J.-P.; Solna, K. 6 2003 Shock structure due to stochastic forcing and the time reversal of nonlinear waves. Zbl 1054.76010Fouque, Jean-Pierre; Garnier, Josselin; Nachbin, André 6 2004 Time reversal super resolution in randomly layered media. Zbl 1231.76270Fouque, Jean-Pierre; Garnier, Josselin; Søłna, Knut 5 2006 Diversity and arbitrage in a regulatory breakup model. Zbl 1219.91161Strong, Winslow; Fouque, Jean-Pierre 5 2011 Diffusion-approximation for the advection-diffusion of a passive scalar by a space-time Gaussian velocity field. Zbl 0827.60047Carmona, René A.; Fouque, Jean Pierre 5 1995 Hydrodynamical limit for the symmetric zero-range process. Zbl 0646.60038Benassi, Albert; Fouque, Jean-Pierre 5 1988 The past of a stopping point and stopping for two-parameter processes. Zbl 0526.60041Fouque, Jean-Pierre 5 1983 Multiscale stochastic volatility model for derivatives on futures. Zbl 1303.91176Fouque, Jean-Pierre; Saporito, Yuri F.; Zubelli, Jorge P. 5 2014 Asymptotic of a two-scale stochastic volatility model. Zbl 0935.91019Fouque, Jean-Pierre; Papanicolaou, George; Sircar, K. Ronnie 4 1998 Perturbed Gaussian copula. Zbl 1189.91224Fouque, Jean-Pierre; Zhou, Xianwen 4 2008 Multiname and multiscale default modeling. Zbl 1179.91264Fouque, Jean-Pierre; Sircar, Ronnie; Sølna, Knut 4 2009 Variance reduction for Monte Carlo simulation in a stochastic volatility environment. Zbl 1405.91693Fouque, Jean-Pierre; Tullie, Tracey Andrew 4 2002 Uncertain volatility models with stochastic bounds. Zbl 1419.91615Fouque, Jean-Pierre; Ning, Ning 4 2018 Directed chain stochastic differential equations. Zbl 1457.60088Detering, Nils; Fouque, Jean-Pierre; Ichiba, Tomoyuki 3 2020 A diffusion approximation result for two parameter processes. Zbl 0794.60060Carmona, René A.; Fouque, Jean Pierre 3 1994 A limit theorem for linear boundary value problems in random media. Zbl 0802.60058Fouque, Jean-Pierre; Merzbach, Ely 3 1994 Spectral analysis of randomly scattered signals using the wavelet transform. Zbl 0968.76588Clouet, J. F.; Fouque, J. P.; Postel, M. 3 1995 Robustness of time reversal for waves in time-dependent random media. Zbl 1073.35031Vigo, Daniel G. Alfaro; Fouque, Jean-Pierre; Garnier, Josselin; Nachbin, André 3 2004 Option pricing under a stressed-beta model. Zbl 1298.91164Fouque, Jean-Pierre; Tashman, Adam P. 3 2012 Unified reinforcement Q-learning for mean field game and control problems. Zbl 1494.91013Angiuli, Andrea; Fouque, Jean-Pierre; Laurière, Mathieu 3 2022 Portfolio optimization under fast mean-reverting and rough fractional stochastic environment. Zbl 1411.91498Fouque, Jean-Pierre; Hu, Ruimeng 3 2018 Systemic optimal risk transfer equilibrium. Zbl 1461.91337Biagini, Francesca; Doldi, Alessandro; Fouque, Jean-Pierre; Frittelli, Marco; Meyer-Brandis, Thilo 2 2021 Calibration of stock betas from skews of implied volatilities. Zbl 1213.91150Fouque, Jean-Pierre; Kollman, Eli 2 2011 Time-reversed refocusing of surface water waves. Zbl 1058.76016Fouque, Jean-Pierre; Nachbin, André 2 2003 Stochastic volatility and epsilon-martingale decomposition. Zbl 1138.91441Fouque, Jean-Pierre; Papanicolaou, George; Sircar, Ronnie 2 2001 Pressure fields generated by acoustical pulses propagating in randomly layered media. Zbl 0923.73012Chillan, J.; Fouque, J. P. 2 1998 Asymmetric variance reduction for pricing American options. Zbl 1180.91286Han, Chuan-Hsiang; Fouque, Jean-Pierre 2 2009 Bond markets with stochastic volatility. Zbl 1189.91213Desantiago, Rafael; Fouque, Jean-Pierre; Solna, Knut 2 2008 Régularité à gauche des martingales fortes à plusieurs indices. Zbl 0434.60051Fouque, Jean-Pierre; Millet, Annie 2 1980 Multiscale asymptotic analysis for portfolio optimization under stochastic environment. Zbl 1458.91193Fouque, Jean-Pierre; Hu, Ruimeng 2 2020 Passe d’un point d’arret et arret des processus à deux indices. Zbl 0471.60054Fouque, Jean-Pierre 2 1981 Fluctuation field for the asymmetric simple exclusion process. Zbl 0737.60087Benassi, Albert; Fouque, Jean-Pierre 1 1991 Totally asymmetric attractive particle systems on \(\mathbb{Z}\): Hydrodynamic limit for general initial profiles. Zbl 0811.60091Fouque, J. P.; Saada, E. 1 1994 McMC estimation of multiscale stochastic volatility models with applications. Zbl 07312623Han, Chuan-Hsiang; Molina, German; Fouque, Jean-Pierre 1 2014 Unified reinforcement Q-learning for mean field game and control problems. Zbl 1494.91013Angiuli, Andrea; Fouque, Jean-Pierre; Laurière, Mathieu 3 2022 Systemic optimal risk transfer equilibrium. Zbl 1461.91337Biagini, Francesca; Doldi, Alessandro; Fouque, Jean-Pierre; Frittelli, Marco; Meyer-Brandis, Thilo 2 2021 On fairness of systemic risk measures. Zbl 1433.91188Biagini, Francesca; Fouque, Jean-Pierre; Frittelli, Marco; Meyer-Brandis, Thilo 7 2020 Directed chain stochastic differential equations. Zbl 1457.60088Detering, Nils; Fouque, Jean-Pierre; Ichiba, Tomoyuki 3 2020 Multiscale asymptotic analysis for portfolio optimization under stochastic environment. Zbl 1458.91193Fouque, Jean-Pierre; Hu, Ruimeng 2 2020 A unified approach to systemic risk measures via acceptance sets. Zbl 1411.91633Biagini, Francesca; Fouque, Jean-pierre; Frittelli, Marco; Meyer-brandis, Thilo 38 2019 Optimal portfolio under fractional stochastic environment. Zbl 1426.91245Fouque, Jean-pierre; Hu, Ruimeng 10 2019 Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options. Zbl 1400.91589Fouque, J.-P.; Saporito, Y. F. 16 2018 Optimal portfolio under fast mean-reverting fractional stochastic environment. Zbl 1410.91414Fouque, Jean-Pierre; Hu, Ruimeng 15 2018 Systemic risk and stochastic games with delay. Zbl 1418.91062Carmona, René; Fouque, Jean-Pierre; Mousavi, Seyyed Mostafa; Sun, Li-Hsien 14 2018 Uncertain volatility models with stochastic bounds. Zbl 1419.91615Fouque, Jean-Pierre; Ning, Ning 4 2018 Portfolio optimization under fast mean-reverting and rough fractional stochastic environment. Zbl 1411.91498Fouque, Jean-Pierre; Hu, Ruimeng 3 2018 Portfolio optimization and stochastic volatility asymptotics. Zbl 1377.91148Fouque, Jean-Pierre; Sircar, Ronnie; Zariphopoulou, Thaleia 38 2017 Perturbation analysis for investment portfolios under partial information with expert opinions. Zbl 1414.91337Fouque, J.-P.; Papanicolaou, A.; Sircar, R. 13 2017 Asymptotic optimal strategy for portfolio optimization in a slowly varying stochastic environment. Zbl 1365.93542Fouque, Jean-Pierre; Hu, Ruimeng 11 2017 Portfolio optimization with ambiguous correlation and stochastic volatilities. Zbl 1410.91415Fouque, Jean-Pierre; Pun, Chi Seng; Wong, Hoi Ying 37 2016 Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration. Zbl 1369.91180Fouque, Jean-Pierre; Lorig, Matthew; Sircar, Ronnie 19 2016 Mean field games and systemic risk. Zbl 1337.91031Carmona, René; Fouque, Jean-Pierre; Sun, Li-Hsien 106 2015 Filtering and portfolio optimization with stochastic unobserved drift in asset returns. Zbl 1321.91109Fouque, Jean-Pierre; Papanicolaou, Andrew; Sircar, Ronnie 14 2015 Approximation for option prices under uncertain volatility. Zbl 1341.60070Fouque, Jean-Pierre; Ren, Bin 13 2014 Multiscale stochastic volatility model for derivatives on futures. Zbl 1303.91176Fouque, Jean-Pierre; Saporito, Yuri F.; Zubelli, Jorge P. 5 2014 McMC estimation of multiscale stochastic volatility models with applications. Zbl 07312623Han, Chuan-Hsiang; Molina, German; Fouque, Jean-Pierre 1 2014 Stability in a model of interbank lending. Zbl 1295.91099Fouque, Jean-Pierre; Ichiba, Tomoyuki 28 2013 Handbook on systemic risk. Zbl 1305.91014 25 2013 Option pricing under hybrid stochastic and local volatility. Zbl 1281.91155Choi, Sun-Yong; Fouque, Jean-Pierre; Kim, Jeong-Hoon 19 2013 Small-time asymptotics for fast mean-reverting stochastic volatility models. Zbl 1266.60049Feng, Jin; Fouque, Jean-Pierre; Kumar, Rohini 27 2012 Option pricing under a stressed-beta model. Zbl 1298.91164Fouque, Jean-Pierre; Tashman, Adam P. 3 2012 Multiscale stochastic volatility for equity, interest rate, and credit derivatives. Zbl 1248.91003Fouque, Jean-Pierre; Papanicolaou, George; Sircar, Ronnie; Sølna, Knut 145 2011 A fast mean-reverting correction to Heston’s stochastic volatility model. Zbl 1217.91189Fouque, Jean-Pierre; Lorig, Matthew J. 17 2011 Spectral decomposition of option prices in fast mean-reverting stochastic volatility models. Zbl 1255.91127Fouque, Jean-Pierre; Jaimungal, Sebastian; Lorig, Matthew J. 9 2011 Diversity and arbitrage in a regulatory breakup model. Zbl 1219.91161Strong, Winslow; Fouque, Jean-Pierre 5 2011 Calibration of stock betas from skews of implied volatilities. Zbl 1213.91150Fouque, Jean-Pierre; Kollman, Eli 2 2011 Short-maturity asymptotics for a fast mean-reverting Heston stochastic volatility model. Zbl 1203.91321Feng, Jin; Forde, Martin; Fouque, Jean-Pierre 33 2010 Interaction particle systems for the computation of rare credit portfolio losses. Zbl 1199.91248Carmona, René; Fouque, Jean-Pierre; Vestal, Douglas 11 2009 Multiname and multiscale default modeling. Zbl 1179.91264Fouque, Jean-Pierre; Sircar, Ronnie; Sølna, Knut 4 2009 Asymmetric variance reduction for pricing American options. Zbl 1180.91286Han, Chuan-Hsiang; Fouque, Jean-Pierre 2 2009 Perturbed Gaussian copula. Zbl 1189.91224Fouque, Jean-Pierre; Zhou, Xianwen 4 2008 Bond markets with stochastic volatility. Zbl 1189.91213Desantiago, Rafael; Fouque, Jean-Pierre; Solna, Knut 2 2008 Wave propagation and time reversal in randomly layered media. Zbl 1386.74001Fouque, Jean-Pierre; Garnier, Josselin; Papanicolaou, George; Sølna, Knut 132 2007 A martingale control variate method for option pricing with stochastic volatility. Zbl 1182.91173Fouque, Jean-Pierre; Han, Chuan-Hsiang 8 2007 Stochastic volatility effects on defaultable bonds. Zbl 1142.91523Fouque, Jean-Pierre; Sircar, Ronnie; Sølna, Knut 25 2006 Time reversal super resolution in randomly layered media. Zbl 1231.76270Fouque, Jean-Pierre; Garnier, Josselin; Søłna, Knut 5 2006 Time-reversal refocusing for point source in randomly layered media. Zbl 1189.76459Fouque, Jean-Pierre; Garnier, Josselin; Nachbin, André; Sølna, Knut 10 2005 Multiscale stochastic volatility asymptotics. Zbl 1074.91015Fouque, Jean-Pierre; Papanicolaou, George; Sircar, Ronnie; Solna, Knut 76 2004 Stochastic volatility corrections for interest rate derivatives. Zbl 1124.91331Cotton, Peter; Fouque, Jean-Pierre; Papanicolaou, George; Sircar, Ronnie 22 2004 Maturity cycles in implied volatility. Zbl 1063.91066Fouque, Jean-Pierre; Papanicolaou, George; Sircar, Ronnie; Solna, Knut 16 2004 Variance reduction for Monte Carlo methods to evaluate option prices under multi-factor stochastic volatility models. Zbl 1405.91692Fouque, Jean-Pierre; Han, Chuan-Hsiang 15 2004 Time reversal for dispersive waves in random media. Zbl 1126.76011Fouque, Jean-Pierre; Garnier, Josselin; Nachbin, André 8 2004 Asian options under multiscale stochastic volatility. Zbl 1120.91013Fouque, Jean-Pierre; Han, Chuan-Hsiang 7 2004 Shock structure due to stochastic forcing and the time reversal of nonlinear waves. Zbl 1054.76010Fouque, Jean-Pierre; Garnier, Josselin; Nachbin, André 6 2004 Robustness of time reversal for waves in time-dependent random media. Zbl 1073.35031Vigo, Daniel G. Alfaro; Fouque, Jean-Pierre; Garnier, Josselin; Nachbin, André 3 2004 Singular perturbations in option pricing. Zbl 1039.91024Fouque, J.-P.; Papanicolaou, G.; Sircar, R.; Solna, K. 76 2003 Pricing Asian options with stochastic volatility. Zbl 1405.91615Fouque, Jean-Pierre; Han, Chuan-Hsiang 17 2003 Time-reversal aperture enhancement. Zbl 1060.76103Fouque, J.-P.; Solna, K. 6 2003 Time-reversed refocusing of surface water waves. Zbl 1058.76016Fouque, Jean-Pierre; Nachbin, André 2 2003 Variance reduction for Monte Carlo simulation in a stochastic volatility environment. Zbl 1405.91693Fouque, Jean-Pierre; Tullie, Tracey Andrew 4 2002 From the implied volatility skew to a robust correction to Black–Scholes American option prices. Zbl 1153.91495Fouque, Jean-Pierre; Papanicolaou, George; Sircar, K. Ronnie 11 2001 Stochastic volatility and epsilon-martingale decomposition. Zbl 1138.91441Fouque, Jean-Pierre; Papanicolaou, George; Sircar, Ronnie 2 2001 Derivatives in financial markets with stochastic volatility. Zbl 0954.91025Fouque, Jean-Pierre; Papanicolaou, George; Sircar, K. Ronnie 303 2000 Mean-reverting stochastic volatility. Zbl 1153.91497Fouque, Jean-Pierre; Papanicolaou, George; Sircar, Ronnie 46 2000 Financial modeling in a fast mean-reverting stochastic volatility environment. Zbl 1157.91358Fouque, Jean-Pierre; Papanicolaou, George; Sircar, K. Ronnie 11 1999 Forward and Markov approximation: The strong-intensity-fluctuations regime revisited. Zbl 0915.35119Fouque, J. P.; Papanicolaou, G.; Samuelides, Y. 8 1998 Asymptotic of a two-scale stochastic volatility model. Zbl 0935.91019Fouque, Jean-Pierre; Papanicolaou, George; Sircar, K. Ronnie 4 1998 Pressure fields generated by acoustical pulses propagating in randomly layered media. Zbl 0923.73012Chillan, J.; Fouque, J. P. 2 1998 A time-reversal method for an acoustical pulse propagating in randomly layered media. Zbl 0920.73051Clouet, J. F.; Fouque, J. P. 16 1997 Parabolic and Gaussian white noise approximation for wave propagation in random media. Zbl 0859.60061Bailly, F.; Clouet, J. F.; Fouque, J. P. 16 1996 Diffusion-approximation for the advection-diffusion of a passive scalar by a space-time Gaussian velocity field. Zbl 0827.60047Carmona, René A.; Fouque, Jean Pierre 5 1995 Spectral analysis of randomly scattered signals using the wavelet transform. Zbl 0968.76588Clouet, J. F.; Fouque, J. P.; Postel, M. 3 1995 Spreading of a pulse travelling in random media. Zbl 0814.73018Clouet, J. F.; Fouque, J. P. 22 1994 A diffusion approximation result for two parameter processes. Zbl 0794.60060Carmona, René A.; Fouque, Jean Pierre 3 1994 A limit theorem for linear boundary value problems in random media. Zbl 0802.60058Fouque, Jean-Pierre; Merzbach, Ely 3 1994 Totally asymmetric attractive particle systems on \(\mathbb{Z}\): Hydrodynamic limit for general initial profiles. Zbl 0811.60091Fouque, J. P.; Saada, E. 1 1994 Fluctuation field for the asymmetric simple exclusion process. Zbl 0737.60087Benassi, Albert; Fouque, Jean-Pierre 1 1991 Hydrodynamical limit for the symmetric zero-range process. Zbl 0646.60038Benassi, Albert; Fouque, Jean-Pierre 5 1988 Hydrodynamical limit for the asymmetric simple exclusion process. Zbl 0623.60120Benassi, Albert; Fouque, Jean-Pierre 26 1987 La convergence en loi pour les processus à valeurs dans un espace nucléaire. Zbl 0545.60012Fouque, Jean-Pierre 14 1984 The past of a stopping point and stopping for two-parameter processes. Zbl 0526.60041Fouque, Jean-Pierre 5 1983 Passe d’un point d’arret et arret des processus à deux indices. Zbl 0471.60054Fouque, Jean-Pierre 2 1981 Régularité à gauche des martingales fortes à plusieurs indices. Zbl 0434.60051Fouque, Jean-Pierre; Millet, Annie 2 1980 all cited Publications top 5 cited Publications all top 5 Cited by 1,420 Authors 49 Garnier, Josselin 42 Fouque, Jean-Pierre 34 Sølna, Knut 32 Kim, Jeong-Hoon 24 Sircar, Ronnie 24 Wong, Hoi Ying 13 Pun, Chi Seng 12 Bal, Guillaume 12 Spiliopoulos, Konstantinos V. 12 Yoon, Ji-Hun 11 Borcea, Liliana 10 Carmona, René A. 10 Jaimungal, Sebastian 10 Lee, Min-Ku 10 Papanicolaou, George C. 9 Lacker, Daniel 9 Lorig, Matthew J. 9 Meyer-Brandis, Thilo 9 Nachbin, André 9 Saporito, Yuri F. 9 Zhu, Songping 8 Bayraktar, Erhan 8 Chen, Wenting 8 Feinstein, Zachary 8 Han, Chuan-Hsiang 8 Jacquier, Antoine 8 Papanicolaou, Andrew 8 Pham, Huyên 8 Pinaud, Olivier 8 Rudloff, Birgit 8 Yin, Gang George 7 Delarue, François 7 Gobet, Emmanuel 7 Gulisashvili, Archil 7 Hu, Ruimeng 7 Laurière, Mathieu 7 Pagliarani, Stefano 7 Pascucci, Andrea 7 Takahashi, Akihiko 7 Viens, Frederi G. 7 Vives, Josep 7 Zhang, Qing 6 Alòs, Elisa 6 Bormetti, Giacomo 6 Choi, Sun-Yong 6 Escobar, Marcos 6 Fannjiang, Albert C. 6 Frittelli, Marco 6 Gibson, Peter C. 6 Han, Bingyan 6 Komorowski, Tomasz 6 Ma, Yong-Ki 6 Minca, Andreea 6 Ryzhik, Lenya 6 Zagst, Rudi 5 Bichuch, Maxim 5 Cao, Jiling 5 Chiu, Mei Choi 5 Del Moral, Pierre 5 Detering, Nils 5 Ferrari, Pablo Augusto 5 Guo, Xin 5 Huh, Jeonggyu 5 Jeon, Junkee 5 Mehrdoust, Farshid 5 Mishura, Yuliya Stepanivna 4 Ammari, Habib 4 Bensoussan, Alain 4 Biagini, Francesca 4 Capponi, Agostino 4 Chronopoulou, Alexandra 4 Debussche, Arnaud 4 Deng, Guohe 4 Di Persio, Luca 4 Ewald, Christian-Oliver 4 Figueroa-López, José E. 4 Forde, Martin 4 Gomez, Christophe 4 Han, Yuecai 4 Helin, Tapio 4 Kumar, Rohini 4 Lassas, Matti J. 4 Muñoz Grajales, Juan Carlos 4 Neufeld, Ariel David 4 Neykova, Daniela 4 Panagiotou, Konstantinos D. 4 Pang, Tao 4 Park, Chang-Rae 4 Park, Kyunghyun 4 Pirjol, Dan 4 Ramanan, Kavita 4 Roome, Patrick 4 Sulem, Agnès 4 Yan, Tingjin 4 Yang, Sung-Jin 4 Young, Virginia R. 4 Zhu, Lingjiong 4 Zubelli, Jorge P. 3 Amini, Hamed 3 Andjel, Enrique Daniel ...and 1,320 more Authors all top 5 Cited in 225 Serials 66 Quantitative Finance 57 SIAM Journal on Financial Mathematics 56 International Journal of Theoretical and Applied Finance 34 Stochastic Processes and their Applications 27 Finance and Stochastics 27 Mathematical Finance 25 SIAM Journal on Control and Optimization 25 The Annals of Applied Probability 25 Applied Mathematical Finance 19 Wave Motion 18 Insurance Mathematics & Economics 17 Applied Mathematics and Optimization 15 Multiscale Modeling & Simulation 15 Mathematics and Financial Economics 13 Journal of Computational Physics 13 Physica A 13 Journal of Computational and Applied Mathematics 12 Chaos, Solitons and Fractals 12 Stochastics and Dynamics 12 Annals of Finance 11 Journal of Statistical Physics 11 Automatica 11 Journal of Optimization Theory and Applications 10 Communications in Mathematical Physics 10 Journal of Mathematical Analysis and Applications 10 Probability Theory and Related Fields 10 European Journal of Operational Research 9 Applied Mathematics and Computation 9 Stochastic Analysis and Applications 8 Inverse Problems 8 Mathematics and Computers in Simulation 8 Mathematics of Operations Research 8 Applied Mathematics Letters 8 SIAM Journal on Applied Mathematics 7 Journal of Differential Equations 7 Communications in Statistics. 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Académie des Sciences, Paris 5 Asia-Pacific Financial Markets 5 Stochastics 5 Waves in Random and Complex Media 5 Inverse Problems and Imaging 4 Stochastics 4 Operations Research 4 Computational and Applied Mathematics 4 Electronic Journal of Probability 4 Bernoulli 4 Statistical Inference for Stochastic Processes 4 International Journal of Stochastic Analysis 4 Statistics & Risk Modeling 4 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys 3 Advances in Applied Probability 3 Computers & Mathematics with Applications 3 Computer Methods in Applied Mechanics and Engineering 3 Journal of Multivariate Analysis 3 Journal of Theoretical Probability 3 Japan Journal of Industrial and Applied Mathematics 3 Applications of Mathematics 3 M\(^3\)AS. Mathematical Models & Methods in Applied Sciences 3 Journal de Mathématiques Pures et Appliquées. Neuvième Série 3 Journal of Statistical Computation and Simulation 3 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 3 Computational Statistics and Data Analysis 3 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 3 Discrete Dynamics in Nature and Society 3 Probability in the Engineering and Informational Sciences 3 Applied Stochastic Models in Business and Industry 3 Discrete and Continuous Dynamical Systems. Series B 3 Journal of Applied Mathematics 3 Journal of Industrial and Management Optimization 3 The European Physical Journal B. Condensed Matter and Complex Systems 3 Mathematical Control and Related Fields 3 Modern Stochastics. Theory and Applications 3 Probability, Uncertainty and Quantitative Risk 2 Journal of Mathematical Physics 2 Mathematics of Computation 2 Theory of Probability and its Applications 2 Journal of Approximation Theory 2 Numerische Mathematik 2 Quaestiones Mathematicae 2 Quarterly of Applied Mathematics 2 Studies in Applied Mathematics 2 Transactions of the American Mathematical Society 2 Numerical Methods for Partial Differential Equations 2 Journal of Applied Mathematics and Stochastic Analysis ...and 125 more Serials all top 5 Cited in 40 Fields 695 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 505 Probability theory and stochastic processes (60-XX) 215 Partial differential equations (35-XX) 134 Systems theory; control (93-XX) 123 Numerical analysis (65-XX) 95 Statistics (62-XX) 80 Calculus of variations and optimal control; optimization (49-XX) 54 Fluid mechanics (76-XX) 53 Operations research, mathematical programming (90-XX) 41 Statistical mechanics, structure of matter (82-XX) 36 Mechanics of deformable solids (74-XX) 31 Optics, electromagnetic theory (78-XX) 30 Ordinary differential equations (34-XX) 16 Approximations and expansions (41-XX) 13 Computer science (68-XX) 12 Dynamical systems and ergodic theory (37-XX) 12 Geophysics (86-XX) 11 Biology and other natural sciences (92-XX) 10 Quantum theory (81-XX) 9 Harmonic analysis on Euclidean spaces (42-XX) 9 Functional analysis (46-XX) 8 Combinatorics (05-XX) 7 Integral equations (45-XX) 6 Information and communication theory, circuits (94-XX) 5 Real functions (26-XX) 5 Integral transforms, operational calculus (44-XX) 5 Mechanics of particles and systems (70-XX) 4 Measure and integration (28-XX) 4 Special functions (33-XX) 3 General and overarching topics; collections (00-XX) 3 Linear and multilinear algebra; matrix theory (15-XX) 3 Operator theory (47-XX) 3 Classical thermodynamics, heat transfer (80-XX) 2 Difference and functional equations (39-XX) 2 Differential geometry (53-XX) 2 Relativity and gravitational theory (83-XX) 1 Topological groups, Lie groups (22-XX) 1 Several complex variables and analytic spaces (32-XX) 1 Global analysis, analysis on manifolds (58-XX) 1 Astronomy and astrophysics (85-XX) Citations by Year