Works (14)

Updated: July 5th, 2023 15:59

2005 journal article

Time-reversal refocusing for point source in randomly layered media

WAVE MOTION, 42(3), 238–260.

author keywords: acoustic waves; random media; asymptotic theory; time reversal
UN Sustainable Development Goal Categories
Source: Web Of Science
Added: August 6, 2018

2004 journal article

Maturity cycles in implied volatility

FINANCE AND STOCHASTICS, 8(4), 451–477.

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

author keywords: implied volatilities; maturity cycles; fast mean-reverting stochastic volatility; asymptotic expansions
TL;DR: It is shown that the skew effect in market implied volatility can be reproduced by option pricing theory based on stochastic volatility models for the price of the underlying asset in a manner consistent with a large model class for the underlying price dynamics with time-periodic volatility coefficients. (via Semantic Scholar)
Source: Web Of Science
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 n, J. Garnier* & A. Nachbin*

author keywords: inhomogeneous media; asymptotic theory; time reversal
Source: Web Of Science
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(3-4), 324–346.

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

author keywords: nonlinear waves; inhomogeneous media; viscous shock; time reversal
UN Sustainable Development Goal Categories
14. Life Below Water (Web of Science)
Source: Web Of Science
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

author keywords: dispersive waves; inhomogeneous media; asymptotic theory; time reversal
TL;DR: The important case of one-dimensional dispersive waves is addressed, where the coherent front wave is destroyed while time reversal of the incoherent transmitted wave still enables refocusing. (via Semantic Scholar)
Source: Web Of Science
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 n, K. Mehta* & J. Fouque n

Sources: Web Of Science, ORCID
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 n & C. Han*

Source: Web Of Science
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

author keywords: stochastic volatility; time scales; singular regular perturbations; option pricing; implied volatility
TL;DR: This paper proposes to use a combination of regular and singular perturbations to analyze parabolic PDEs that arise in the context of pricing options when the volatility is a stochastic process that varies on several characteristic time scales. (via Semantic Scholar)
Source: Web Of Science
Added: August 6, 2018

2003 journal article

Pricing Asian options with stochastic volatility

QUANTITATIVE FINANCE, 3(5), 353–362.

By: J. Fouque n & C. Han n

UN Sustainable Development Goal Categories
Source: Web Of Science
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

author keywords: mathematical finance; option pricing; stochastic volatility; singular perturbations
TL;DR: It is shown that, in the presence of time scales between the main observed process and the volatility driving process, asymptotic methods are very efficient in capturing the effects of random volatility in simple robust corrections to constant volatility formulas. (via Semantic Scholar)
Source: Web Of Science
Added: August 6, 2018

2003 journal article

Time-reversal aperture enhancement

MULTISCALE MODELING & SIMULATION, 1(2), 239–259.

By: J. Fouque* & K. Solna

author keywords: wave propagation; random media; superresolution; time-reversal; diffusion approximation
TL;DR: This paper gives a complete analysis of time- reversal of waves emanating from a point source and propagating in a randomly layered medium and shows that random medium fluctuations actually enhance the spatial refocusing around the initial source position. (via Semantic Scholar)
UN Sustainable Development Goal Categories
14. Life Below Water (OpenAlex)
Source: Web Of Science
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

author keywords: water waves; inhomogeneous media; asymptotic theory
TL;DR: A brief mathematical review of the time-reversal (in reflection) theory is presented in the context of the linear shallow water equations, and the numerically refocused pulse is compared with the theoretical predicted shape. (via Semantic Scholar)
UN Sustainable Development Goal Categories
6. Clean Water and Sanitation (OpenAlex)
Source: Web Of Science
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

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