Works (14)

2005 journal article

Time-reversal refocusing for point source in randomly layered media

Wave Motion, 42(3), 238–260.

By: J. Fouque, J. Garnier, A. Nachbin & K. Solna

Source: NC State University Libraries
Added: August 6, 2018

2004 journal article

Maturity cycles in implied volatility

Finance and Stochastics, 8(4), 451–477.

By: J. Fouque, G. Papanicolaou, R. Sircar & K. Solna

Source: NC State University Libraries
Added: August 6, 2018

2004 journal article

Robustness of time reversal for waves in time-dependent random media

Stochastic Processes and Their Applications, 113(2), 289–313.

By: D. Vigo, J. Fouque, J. Garnier & A. Nachbin

Source: NC State University Libraries
Added: August 6, 2018

2004 journal article

Shock structure due to stochastic forcing and the time reversal of nonlinear waves

Physica. D, Nonlinear Phenomena, 195(38050), 324–346.

By: J. Fouque, J. Garnier & A. Nachbin

Source: NC State University Libraries
Added: August 6, 2018

2004 journal article

Stochastic volatility corrections for interest rate derivatives

Mathematical Finance: An International Journal of Mathematics, Statistics, and Financial Theory, 14(2), 173–200.

By: P. Cotton, J. Fouque, G. Papanicolaou & R. Sircar

Source: NC State University Libraries
Added: August 6, 2018

2004 journal article

Time reversal for dispersive waves in random media

SIAM Journal on Applied Mathematics, 64(5), 1810–1838.

By: J. Fouque, J. Garnier & A. Nachbin

Source: NC State University Libraries
Added: August 6, 2018

2004 journal article

Time-reversal simulations for detection in randomly layered media

Waves in Random Media, 14(2), 185–198.

By: M. Haider, K. Mehta & J. Fouque

Source: NC State University Libraries
Added: August 6, 2018

2004 journal article

Variance reduction for Monte Carlo methods to evaluate option prices under multi-factor stochastic volatility models

Quantitative Finance, 4(5), 597–606.

By: J. Fouque & C. Han

Source: NC State University Libraries
Added: August 6, 2018

2003 journal article

Multiscale stochastic volatility asymptotics

Multiscale Modeling & Simulation, 2(1), 22–42.

By: J. Fouque, G. Papanicolaou, R. Sircar & K. Solna

Source: NC State University Libraries
Added: August 6, 2018

2003 journal article

Pricing Asian options with stochastic volatility

Quantitative Finance, 3(5), 353–362.

By: J. Fouque & C. Han

Source: NC State University Libraries
Added: August 6, 2018

2003 journal article

Singular perturbations in option pricing

SIAM Journal on Applied Mathematics, 63(5), 1648–1665.

By: J. Fouque, G. Papanicolaou, R. Sircar & K. Solna

Source: NC State University Libraries
Added: August 6, 2018

2003 journal article

Time-reversal aperture enhancement

Multiscale Modeling & Simulation, 1(2), 239–259.

By: J. Fouque & K. Solna

Source: NC State University Libraries
Added: August 6, 2018

2003 journal article

Time-reversed refocusing of surface water waves

Multiscale Modeling & Simulation, 1(4), 609–629.

By: J. Fouque & A. Nachbin

Source: NC State University Libraries
Added: August 6, 2018

2000 book

Derivatives in financial markets with stochastic volatility

Cambridge; New York: Cambridge University Press.

By: J. Fouque, G. Papanicolaou & K. Sircar

Source: NC State University Libraries
Added: August 6, 2018