Singular Perturbations in Option Pricing
J. -P. Fouque, Papanicolaou, G., R. Sircar, K. Solna
Published in SIAM journal on applied mathematics (01.01.2003)
Published in SIAM journal on applied mathematics (01.01.2003)
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Journal Article
Parabolic and Gaussian White Noise Approximation for Wave Propagation in Random Media
Bailly, F., Clouet, J. F., Fouque, J. P.
Published in SIAM journal on applied mathematics (01.10.1996)
Published in SIAM journal on applied mathematics (01.10.1996)
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Journal Article
Maturity cycles in implied volatility
Fouque, Jean-Pierre, Papanicolaou, George, Sircar, Ronnie, Solna, Knut
Published in Finance and stochastics (01.11.2004)
Published in Finance and stochastics (01.11.2004)
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Journal Article
Asymmetric attractive particle systems on Z : hydrodynamic limit for monotone initial profiles
BENASSI, A, FOUQUE, J. P, SAADA, E, VARES, M. E
Published in Journal of statistical physics (01.05.1991)
Published in Journal of statistical physics (01.05.1991)
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Journal Article
Estimation of local power spectral densities for non-stationary signals using wavelet transform
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Journal Article
Conference Proceeding
Multiscale Stochastic Volatility Asymptotics
Fouque, Jean-Pierre, Papanicolaou, George, Sircar, Ronnie, Solna, Knut
Published in Multiscale modeling & simulation (01.01.2003)
Published in Multiscale modeling & simulation (01.01.2003)
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Journal Article
Detection of a reflective layer in a random layered medium using time reversal [acoustic measurement method]
Poliannikov, O.V., Fouque, J.-P.
Published in Proceedings. (ICASSP '05). IEEE International Conference on Acoustics, Speech, and Signal Processing, 2005 (2005)
Published in Proceedings. (ICASSP '05). IEEE International Conference on Acoustics, Speech, and Signal Processing, 2005 (2005)
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Conference Proceeding