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.
co-author countries:
Brazil 🇧🇷 France 🇫🇷
author keywords: acoustic waves; random media; asymptotic theory; time reversal
Source: Web Of Science
Added: August 6, 2018
2004 journal article
Maturity cycles in implied volatility
FINANCE AND STOCHASTICS, 8(4), 451–477.
author keywords: implied volatilities; maturity cycles; fast mean-reverting stochastic volatility; asymptotic expansions
citeseerx.ist.psu.edu (repository)
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.
co-author countries:
Brazil 🇧🇷 France 🇫🇷
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.
co-author countries:
Brazil 🇧🇷 France 🇫🇷
author keywords: nonlinear waves; inhomogeneous media; viscous shock; time reversal
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.
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.
author keywords: dispersive waves; inhomogeneous media; asymptotic theory; time reversal
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.
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.
Source: Web Of Science
Added: August 6, 2018
2003 journal article
Multiscale stochastic volatility asymptotics
MULTISCALE MODELING & SIMULATION, 2(1), 22–42.
author keywords: stochastic volatility; time scales; singular regular perturbations; option pricing; implied volatility
Source: Web Of Science
Added: August 6, 2018
2003 journal article
Pricing Asian options with stochastic volatility
QUANTITATIVE FINANCE, 3(5), 353–362.
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.
author keywords: mathematical finance; option pricing; stochastic volatility; singular perturbations
Source: Web Of Science
Added: August 6, 2018
2003 journal article
Time-reversal aperture enhancement
MULTISCALE MODELING & SIMULATION, 1(2), 239–259.
author keywords: wave propagation; random media; superresolution; time-reversal; diffusion approximation
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.
author keywords: water waves; inhomogeneous media; asymptotic theory
Source: Web Of Science
Added: August 6, 2018
2000 book
Derivatives in financial markets with stochastic volatility
Cambridge; New York: Cambridge University Press.
Source: NC State University Libraries
Added: August 6, 2018
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