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Disambiguation of "Fouque, Jean-Pierre"

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Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models.

, , and . SIAM J. Financial Math., 2 (1): 665-691 (2011)

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Pierre Jean Regenet

Jean Pierre Calteux

Jean-Pierre Mazat

Jean-Pierre Dubost

Jean Pierre Vité

 

Other publications of authors with the same name

Stochastic Volatility Effects on Defaultable Bonds, , and . Applied Mathematical Finance, 13 (3): 215--244 (2006)Robustness of time reversal for waves in time-dependent random media, , , and . Stochastic Processes and their Applications, 113 (2): 289--313 (October 2004)Maturity cycles in implied volatility., , , and . Finance and Stochastics, 8 (4): 451-477 (2004)Singular Perturbations in Option Pricing., , , and . SIAM J. Appl. Math., 63 (5): 1648-1665 (2003)Unified reinforcement Q-learning for mean field game and control problems., , and . Math. Control. Signals Syst., 34 (2): 217-271 (2022)Optimal Trading with Signals and Stochastic Price Impact., , and . SIAM J. Financial Math., 13 (3): 944-968 (September 2022)Asymptotic Optimal Strategy for Portfolio Optimization in a Slowly Varying Stochastic Environment., and . SIAM J. Control. Optim., 55 (3): 1990-2023 (2017)Diffusion-Approximation for the Advection-Diffusion of a Passive Scalar by a Space-Time Gaussian Velocity Field, and . page 37--49. Birkhäuser Basel, Basel, (1995)Time Reversal for Dispersive Waves in Random Media., , and . SIAM J. Appl. Math., 64 (5): 1810-1838 (2004)A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model., and . SIAM J. Financial Math., 2 (1): 221-254 (2011)