Jean-Pierre Fouque

Fouque, J. P., Garnier, J., Nachbin, A., & Solna, K. (2005). Time-reversal refocusing for point source in randomly layered media. WAVE MOTION, 42(3), 238–260. https://doi.org/10.1016/j.wavemoti.2005.03.001

Fouque, J. P., Papanicolaou, G., Sircar, R., & Solna, K. (2004). Maturity cycles in implied volatility. FINANCE AND STOCHASTICS, 8(4), 451–477. https://doi.org/10.1007/s00780-004-0126-7

Vigo, D. G. A., Fouque, J. P., Garnier, J., & Nachbin, A. (2004). Robustness of time reversal for waves in time-dependent random media. STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 113(2), 289–313. https://doi.org/10.1016/j.spa.2004.04.002

Fouque, J. P., Garnier, J., & Nachbin, A. (2004). Shock structure due to stochastic forcing and the time reversal of nonlinear waves. PHYSICA D-NONLINEAR PHENOMENA, 195(3-4), 324–346. https://doi.org/10.1016/j.physd.2004.05.003

Cotton, P., Fouque, J. P., Papanicolaou, G., & Sircar, R. (2004). Stochastic volatility corrections for interest rate derivatives. Mathematical Finance: An International Journal of Mathematics, Statistics, and Financial Theory, 14(2), 173–200.

Fouque, J. P., Garnier, J., & Nachbin, A. (2004). Time reversal for dispersive waves in random media. SIAM JOURNAL ON APPLIED MATHEMATICS, 64(5), 1810–1838. https://doi.org/10.1137/S0036139903422371

Haider, M. A., Mehta, K. J., & Fouque, J. P. (2004). Time-reversal simulations for detection in randomly layered media. WAVES IN RANDOM MEDIA, 14(2), 185–198. https://doi.org/10.1088/0959-7174/14/2/007

Fouque, J. P., & Han, C. H. (2004). Variance reduction for Monte Carlo methods to evaluate option prices under multi-factor stochastic volatility models. QUANTITATIVE FINANCE, 4(5), 597–606. https://doi.org/10.1080/14697680400020317

Fouque, J. P., Papanicolaou, G., Sircar, R., & Solna, K. (2003). Multiscale stochastic volatility asymptotics. MULTISCALE MODELING & SIMULATION, 2(1), 22–42. https://doi.org/10.1137/030600291

Fouque, J. P., & Han, C. H. (2003). Pricing Asian options with stochastic volatility. QUANTITATIVE FINANCE, 3(5), 353–362. https://doi.org/10.1088/1469-7688/3/5/301

Fouque, J. P., Papanicolaou, G., Sircar, R., & Solna, K. (2003). Singular perturbations in option pricing. SIAM JOURNAL ON APPLIED MATHEMATICS, 63(5), 1648–1665. https://doi.org/10.1137/S0036139902401550

Fouque, J. P., & Solna, K. (2003). Time-reversal aperture enhancement. MULTISCALE MODELING & SIMULATION, 1(2), 239–259. https://doi.org/10.1137/S1540345902414443

Fouque, J. P., & Nachbin, A. (2003). Time-reversed refocusing of surface water waves. MULTISCALE MODELING & SIMULATION, 1(4), 609–629. https://doi.org/10.1137/S1540345902412110

Fouque, J.-P., Papanicolaou, G., & Sircar, K. R. (2000). Derivatives in financial markets with stochastic volatility. Cambridge; New York: Cambridge University Press.