Jean-Pierre Fouque

University of California, Santa Barbara (UCSB) - Statistics & Applied Probablity

United States

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 41,621

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Top 41,621

in Total Papers Downloads

1,793

SSRN CITATIONS
Rank 17,508

SSRN RANKINGS

Top 17,508

in Total Papers Citations

25

CROSSREF CITATIONS

36

Scholarly Papers (10)

1.

Mean Field Games and Systemic Risk

Number of pages: 23 Posted: 09 Aug 2013
Rene Carmona, Jean-Pierre Fouque and Li-Hsien Sun
Princeton University - Bendheim Center for Finance, University of California, Santa Barbara (UCSB) - Statistics & Applied Probablity and University of California, Santa Barbara (UCSB) - Statistics & Applied Probablity
Downloads 377 (120,464)
Citation 18

Abstract:

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Systemic risk, interbank borrowing and lending, stochastic games, Nash equilibrium, Mean Field Game

2.

Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models

Fouque, Jean-Pierre, Sebastian Jaimungal, and Matthew J. Lorig. "Spectral decomposition of option prices in fast mean-reverting stochastic volatility models." SIAM Journal on Financial Mathematics 2.1 (2011): 665-691.
Number of pages: 22 Posted: 03 Aug 2010 Last Revised: 27 Apr 2015
Jean-Pierre Fouque, Sebastian Jaimungal and Matthew Lorig
University of California, Santa Barbara (UCSB) - Statistics & Applied Probablity, University of Toronto - Department of Statistics and University of Washington - Applied Mathematics
Downloads 375 (121,190)
Citation 2

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Spectral Methods, Stochastic Volatility, Barrier Options

3.

Perturbation Analysis for Investment Portfolios Under Partial Information with Expert Opinions

SIAM J. Control Optim., 55(3), (2017) pp. 1534–1566., NYU Tandon Research Paper No. 2532051
Number of pages: 32 Posted: 30 Nov 2014 Last Revised: 26 Jun 2017
Andrew Papanicolaou, Ronnie Sircar and Jean-Pierre Fouque
North Carolina State University - Department of Mathematics, Princeton University - Department of Operations Research and Financial Engineering and University of California, Santa Barbara (UCSB) - Statistics & Applied Probablity
Downloads 267 (173,939)
Citation 2

Abstract:

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Filtering, Control, Hamilton-Jacobi-Bellman equation, Portfolio optimization, partial information, expert opinions.

4.

Filtering and Portfolio Optimization with Stochastic Unobserved Drift in Asset Returns

Communications in Mathematical Sciences, 13(4):935-953 (2015).
Number of pages: 20 Posted: 02 Aug 2013 Last Revised: 26 Jun 2017
Jean-Pierre Fouque, Andrew Papanicolaou and Ronnie Sircar
University of California, Santa Barbara (UCSB) - Statistics & Applied Probablity, North Carolina State University - Department of Mathematics and Princeton University - Department of Operations Research and Financial Engineering
Downloads 237 (195,550)
Citation 3

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portfolio optimization, filtering, Hamilton-Jacobi-Bellman equation, asymptotic approximations

5.

Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities

SIAM J. Control Optim., 54(5), 2309-2338, 2016
Number of pages: 30 Posted: 14 Aug 2014 Last Revised: 06 Dec 2019
Jean-Pierre Fouque, Chi Seng Pun and Hoi Ying Wong
University of California, Santa Barbara (UCSB) - Statistics & Applied Probablity, Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 224 (206,419)
Citation 11

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Ambiguous correlation, G-Brownian motion, Hamilton-Jacobi-Bellman-Isaacs equation, Stochastic volatility

6.

Portfolio Optimization & Stochastic Volatility Asymptotics

Forthcoming in Mathematical Finance
Number of pages: 37 Posted: 30 Jul 2014 Last Revised: 03 Jul 2015
Jean-Pierre Fouque, Ronnie Sircar and Thaleia Zariphopoulou
University of California, Santa Barbara (UCSB) - Statistics & Applied Probablity, Princeton University - Department of Operations Research and Financial Engineering and University of Texas at Austin - Red McCombs School of Business
Downloads 177 (256,707)
Citation 9

Abstract:

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portfolio optimization, stochastic volatility, asymptotic analysis

7.

Second Order Multiscale Stochastic Volatility Asymptotics: Stochastic Terminal Layer Analysis & Calibration

Number of pages: 33 Posted: 31 Aug 2012 Last Revised: 18 Apr 2015
Jean-Pierre Fouque, Matthew Lorig and Ronnie Sircar
University of California, Santa Barbara (UCSB) - Statistics & Applied Probablity, University of Washington - Applied Mathematics and Princeton University - Department of Operations Research and Financial Engineering
Downloads 54 (556,149)
Citation 7

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8.

Optimal Investment with Correlated Stochastic Volatility Factors

Number of pages: 17 Posted: 30 Aug 2019 Last Revised: 30 Sep 2020
Maxim Bichuch and Jean-Pierre Fouque
University at Buffalo, SUNY and University of California, Santa Barbara (UCSB) - Statistics & Applied Probablity
Downloads 46 (595,459)
Citation 1

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optimal investment, asymptotic analysis, utility maximization, stochastic volatility

9.

Diversity and Arbitrage in a Regulatory Breakup Model

Annals of Finance 7.3 (2011): 349-374
Number of pages: 21 Posted: 28 Oct 2013
Winslow Strong and Jean-Pierre Fouque
ETH Zurich, Department of Mathematics and University of California, Santa Barbara (UCSB) - Statistics & Applied Probablity
Downloads 28 (706,149)

Abstract:

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Diversity, Arbitrage, Relative arbitrage, Equivalent martingale measure, Antitrust, Regulation

10.

Optimal Portfolio Under Fractional Stochastic Environment

Mathematical Finance, Vol. 29, Issue 3, pp. 697-734, 2019
Number of pages: 38 Posted: 28 May 2020
Jean-Pierre Fouque and Ruimeng Hu
University of California, Santa Barbara (UCSB) - Statistics & Applied Probablity and University of California, Santa Barbara (UCSB)
Downloads 8 (881,838)
Citation 2

Abstract:

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asymptotic optimality, fractional stochastic processes, martingale distortion, optimal portfolio