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Mathematics

D-Index
35
Citations
6210
World Ranking
2742
National Ranking
1120

Research.com Recognitions

  • 2011 - SIAM Fellow For contributions to asymptotic analysis for random media and financial mathematics.

Overview

Jean-Pierre Fouque is affiliated with the University of California, Santa Barbara in the United States. Their research primarily covers the field of Economics, Econometrics, and Finance, with a focus on several specialized subfields such as Finance, Management Science and Operations Research, and Economics and Econometrics. Additionally, their work touches on Mathematical Physics and Computational Mechanics.

Their scholarly output includes multiple recent papers, among which are:

  • Deep Learning Methods for Mean Field Control Problems With Delay, 2020, published in Frontiers in Applied Mathematics and Statistics
  • Unified reinforcement Q-learning for mean field game and control problems, 2022, published in Mathematics of Control Signals and Systems
  • Optimal Trading with Signals and Stochastic Price Impact, 2022, published in SIAM Journal on Financial Mathematics
  • On fairness of systemic risk measures, 2020, published in Archivio Istituzionale della Ricerca (Universita Degli Studi Di Milano)
  • Multiscale Asymptotic Analysis for Portfolio Optimization under Stochastic Environment, 2020, published in Multiscale Modeling and Simulation

The venues where Jean-Pierre Fouque has frequently published include:

  • arXiv (Cornell University)
  • SIAM Journal on Financial Mathematics
  • Archivio Istituzionale della Ricerca (Universita Degli Studi Di Milano)
  • Journal of Machine Learning
  • Finance and Stochastics

Their main topics of work encompass:

  • Stochastic processes and financial applications
  • Risk and Portfolio Optimization
  • Economic theories and models
  • Financial Risk and Volatility Modeling
  • Banking stability, regulation, efficiency
  • Fluid Dynamics and Turbulent Flows
  • Credit Risk and Financial Regulations

Jean-Pierre Fouque has collaborated frequently with various co-authors, including:

  • Andrea Angiuli
  • Mathieu Laurière
  • Marco Frittelli
  • Thilo Meyer-Brandis
  • Ruimeng Hu

In recognition of their contributions, Jean-Pierre Fouque received the SIAM Fellow award in 2011, noted for work in asymptotic analysis for random media and financial mathematics.

Best Publications

  • Derivatives in Financial Markets with Stochastic Volatility

    Jean-Pierre Fouque;George Papanicolaou;K. Ronnie Sircar

  • Wave Propagation and Time Reversal in Randomly Layered Media

    Jean-Pierre Fouque;Josselin Garnier;George Papanicolaou;Knut Sølna

  • Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives

    Jean-Pierre Fouque;George Papanicolaou;Ronnie Sircar;Knut Sølna

  • Mean field games and systemic risk

    Rene A. Carmona;Jean Pierre Fouque;Li Hsien Sun

  • Multiscale Stochastic Volatility Asymptotics

    Jean Pierre Fouque;George Papanicolaou;Ronnie Sircar;Knut Solna

  • MEAN-REVERTING STOCHASTIC VOLATILITY

    Jean-Pierre Fouque;George Papanicolaou;K. Ronnie Sircar

  • Singular Perturbations in Option Pricing

    George Papanicolaou;Jean-Pierre Fouque;Knut Solna;Ronnie Sircar

  • A unified approach to systemic risk measures via acceptance sets

    Francesca Biagini;Jean-Pierre Fouque;Marco Frittelli;Thilo Meyer-Brandis

  • Stochastic Volatility Effects on Defaultable Bonds

    Jean‐Pierre Fouque;Ronnie Sircar;Knut S⊘lna

  • Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities

    Jean-Pierre Fouque;Chi Seng Pun;Hoi Ying Wong

  • A time-reversal method for an acoustical pulse propagating in randomly layered media

    J.F. Clouet;J.P. Fouque

  • Hydrodynamical Limit for the Asymmetric Simple Exclusion Process

    Albert Benassi;Jean-Pierre Fouque

  • PORTFOLIO OPTIMIZATION AND STOCHASTIC VOLATILITY ASYMPTOTICS

    Jean Pierre Fouque;Ronnie Sircar;Thaleia Zariphopoulou

  • Diffuse Waves in Complex Media

    Unknown

  • Pricing Asian Options with Stochastic Volatility

    Jean-Pierre Fouque;Chuan-Hsiang Han

  • Short time-scale in S&P500 volatility

    Jean-Pierre Fouque;George Papanicolaou;Ronnie Sircar;Knut Solna

  • Stability in a Model of Interbank Lending

    Jean-Pierre Fouque;Tomoyuki Ichiba

  • STOCHASTIC VOLATILITY CORRECTIONS FOR INTEREST RATE DERIVATIVES

    Peter Cotton;Jean-Pierre Fouque;George Papanicolaou;Ronnie Sircar

  • Short-Maturity Asymptotics for a Fast Mean-Reverting Heston Stochastic Volatility Model

    Jin Feng;Martin Forde;Jean-Pierre Fouque

  • SMALL-TIME ASYMPTOTICS FOR FAST MEAN-REVERTING STOCHASTIC VOLATILITY MODELS

    Jin Feng;Jean Pierre Fouque;Rohini Kumar

  • Maturity cycles in implied volatility

    Jean-Pierre Fouque;George Papanicolaou;Ronnie Sircar;Knut Solna

  • Spreading of a Pulse Travelling in Random Media

    J. F. Clouet;J. P. Fouque

  • Interacting particle systems for the computation of rare credit portfolio losses

    René Carmona;Jean-Pierre Fouque;Douglas Vestal

  • Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives: Credit Risk I: Structural Models with Stochastic Volatility

    Jean-Pierre Fouque;George Papanicolaou;Ronnie Sircar;Knut Sølna

Frequent Co-Authors

George Papanicolaou
George Papanicolaou Stanford University
Ronnie Sircar
Ronnie Sircar Princeton University
Josselin Garnier
Josselin Garnier École Polytechnique
René Carmona
René Carmona Princeton University

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