Jean-Pierre Fouque

Works (14)

Updated: July 5th, 2023 15:59

2005 article

Time-reversal refocusing for point source in randomly layered media

Fouque, J.-P., Garnier, J., Nachbin, A., & Sølna, K. (2005, April 9). Wave Motion.

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

author keywords: acoustic waves; random media; asymptotic theory; time reversal
topics (OpenAlex): Microwave Imaging and Scattering Analysis; Geophysical Methods and Applications; Ultrasonics and Acoustic Wave Propagation
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Source: Web Of Science
Added: August 6, 2018

2004 article

Maturity cycles in implied volatility

Fouque, J.-P., Papanicolaou, G., Sircar, R., & Solna, K. (2004, September 18). Finance and Stochastics.

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

author keywords: implied volatilities; maturity cycles; fast mean-reverting stochastic volatility; asymptotic expansions
topics (OpenAlex): Stochastic processes and financial applications; Financial Risk and Volatility Modeling; Complex Systems and Time Series Analysis
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)
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Source: Web Of Science
Added: August 6, 2018

2004 article

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

Vigo, D. G. A., Fouque, J.-P., Garnier, J., & Nachbin, A. (2004, May 30). Stochastic Processes and Their Applications.

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

author keywords: inhomogeneous media; asymptotic theory; time reversal
topics (OpenAlex): Microwave Imaging and Scattering Analysis; Geophysical Methods and Applications; Numerical methods in inverse problems
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Source: Web Of Science
Added: August 6, 2018

2004 article

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

Fouque, J.-P., Garnier, J., & Nachbin, A. (2004, July 21). Physica D Nonlinear Phenomena.

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

author keywords: nonlinear waves; inhomogeneous media; viscous shock; time reversal
topics (OpenAlex): Microwave Imaging and Scattering Analysis; Seismic Imaging and Inversion Techniques; Numerical methods in inverse problems
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14. Life Below Water (Web of Science)
15. Life on Land (OpenAlex)
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 article

Time Reversal for Dispersive Waves in Random Media

Nachbin, A., Fouque, J.-P., & Garnier, J. (2004, January 1). SIAM Journal on Applied Mathematics.

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

author keywords: dispersive waves; inhomogeneous media; asymptotic theory; time reversal
topics (OpenAlex): Microwave Imaging and Scattering Analysis; Numerical methods in inverse problems; Advanced Mathematical Physics Problems
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)
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14. Life Below Water (Web of Science)
Source: Web Of Science
Added: August 6, 2018

2004 article

Time-reversal simulations for detection in randomly layered media

Haider, M. A., Mehta, K. J., & Fouque, J.-P. (2004, March 18). Waves in Random Media, Vol. 14, pp. 185–198.

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

topics (OpenAlex): Microwave Imaging and Scattering Analysis; Geophysical Methods and Applications; Numerical methods in inverse problems
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Sources: Web Of Science, NC State University Libraries
Added: August 6, 2018

2004 article

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

Fouque, J.-P., & Han, C.-H. (2004, October 1). Quantitative Finance.

By: J. Fouque n & C. Han*

topics (OpenAlex): Stochastic processes and financial applications; Financial Risk and Volatility Modeling; Insurance, Mortality, Demography, Risk Management
Source: Web Of Science
Added: August 6, 2018

2003 article

Multiscale Stochastic Volatility Asymptotics

Fouque, J.-P., Papanicolaou, G., Sircar, R., & Solna, K. (2003, January 1). Multiscale Modeling and Simulation.

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

author keywords: stochastic volatility; time scales; singular regular perturbations; option pricing; implied volatility
topics (OpenAlex): Stochastic processes and financial applications; Financial Risk and Volatility Modeling; Complex Systems and Time Series Analysis
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)
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Source: Web Of Science
Added: August 6, 2018

2003 article

Pricing Asian options with stochastic volatility

Fouque, J.-P., & Han, C.-H. (2003, October 1). Quantitative Finance.

By: J. Fouque n & C. Han n

topics (OpenAlex): Stochastic processes and financial applications; Financial Risk and Volatility Modeling; Stochastic processes and statistical mechanics
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Source: Web Of Science
Added: August 6, 2018

2003 article

Singular Perturbations in Option Pricing

Fouque, J. P., Papanicolaou, G., Sircar, R., & Solna, K. (2003, January 1). SIAM Journal on Applied Mathematics.

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

author keywords: mathematical finance; option pricing; stochastic volatility; singular perturbations
topics (OpenAlex): Stochastic processes and financial applications; Financial Risk and Volatility Modeling; Complex Systems and Time Series Analysis
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)
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Source: Web Of Science
Added: August 6, 2018

2003 article

Time-Reversal Aperture Enhancement

Fouque, J. P., & Solna, K. (2003, January 1). Multiscale Modeling and Simulation.

By: J. Fouque n & K. Solna *

author keywords: wave propagation; random media; superresolution; time-reversal; diffusion approximation
topics (OpenAlex): Microwave Imaging and Scattering Analysis; Geophysical Methods and Applications; Numerical methods in inverse problems
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)
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14. Life Below Water (OpenAlex)
Source: Web Of Science
Added: August 6, 2018

2003 article

Time-Reversed Refocusing of Surface Water Waves

Fouque, J.-P., & Nachbin, A. (2003, January 1). Multiscale Modeling and Simulation.

By: J. Fouque* & A. Nachbin

author keywords: water waves; inhomogeneous media; asymptotic theory
topics (OpenAlex): Microwave Imaging and Scattering Analysis; Geophysical Methods and Applications; Underwater Acoustics Research
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)
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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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