Jean-Pierre Fouque 3

Finance · 2000–2017

A researcher in the Science corpus: 12 papers; trusts 29 researchers and is trusted by 26 researchers here, as inferred from the citation graph.

Subfields

• Finance — 81 citations into it; #1,511 of 10,518 by trust here, #2,404 by citations
• Economics and Econometrics — 38 citations into it; #4,082 of 23,481 by trust here, #8,678 by citations
• Demography — 10 citations into it

Whom Jean-Pierre Fouque 3 trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Daniel B. Nelson
2. Jan Vecer
3. George Papanicolaou
4. Paul Glasserman
5. A. Sepp
6. Philipp J. Schönbucher
7. Jessica A. Wachter
8. Huyen Pham
9. Ronnie Sircar
10. Kay Giesecke

Who trusts Jean-Pierre Fouque 3 overall

1. Samuel Hikspoors
2. Sun-Yong Choi
3. Sam D. Howison
4. Steven Kou
5. Daniel Lacker
6. Ronnie Sircar
7. Pierre Henry-Labordère
8. G. West
9. Sebastian Jaimungal
10. Roger Lee

Papers from Jean-Pierre Fouque 3's perspective

Ordered by how strongly the researchers Jean-Pierre Fouque 3 trusts endorse each paper. Same corpus, a different order for every researcher.

1. The Pricing of Options and Corporate Liabilities
2. Credit Risk: Modeling, Valuation And Hedging
3. The Generalized Hyperbolic Model: Financial Derivatives and Risk Measures
4. Markov Processes: Characterization and Convergence
5. Brownian Motion and Stochastic Calculus
6. A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES
7. Derivatives in Financial Markets with Stochastic Volatility
8. Option Valuation under Stochastic Volatility
9. Mean field games
10. Moment explosions in stochastic volatility models (Finance and Stochastics)

Their papers

• Mean Field Games and Systemic Risk (2013) — 323 citations
• MEAN-REVERTING STOCHASTIC VOLATILITY (2000) — 172 citations
• Wave Propagation and Time Reversal in Randomly Layered Media (2007) — 394 citations
• SMALL-TIME ASYMPTOTICS FOR FAST MEAN-REVERTING STOCHASTIC VOLATILITY MODELS (2010) — 72 citations
• PORTFOLIO OPTIMIZATION AND STOCHASTIC VOLATILITY ASYMPTOTICS (2017) — 85 citations
• Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options (2017) — 46 citations
• Option pricing under hybrid stochastic and local volatility (2013) — 51 citations
• Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives: Introduction to Stochastic Volatility Models (2011) — 248 citations
• Stochastic Volatility Effects on Defaultable Bonds (2006) — 73 citations
• Variance reduction for Monte Carlo methods to evaluate option prices under multi-factor stochastic volatility models (2004) — 55 citations
• Pricing Asian options with stochastic volatility (2003) — 74 citations
• Derivatives in Financial Markets with Stochastic Volatility (2000) — 1,095 citations