Jean-pierre Fouque
Affiliations: | Statistics | University of California, Santa Barbara, Santa Barbara, CA, United States |
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"Jean-pierre Fouque"Children
Sign in to add trainee| Douglas W. Vestal | grad student | 2008 | UC Santa Barbara |
| Eli W. Kollman | grad student | 2009 | UC Santa Barbara |
| Brian C. Wignall | grad student | 2009 | UC Santa Barbara |
| Winslow C. Strong | grad student | 2011 | UC Santa Barbara |
| Raj Sau | grad student | 2012 | UC Santa Barbara |
| Chunkai Gao | grad student | 2013 | UC Santa Barbara |
| Bin Ren | grad student | 2013 | UC Santa Barbara |
| Yuri Fahham Saporito | grad student | 2014 | UC Santa Barbara |
| Matthew D. Hancock | grad student | 2014 | UC Santa Barbara |
| Li-Hsien Sun | grad student | 2014 | UC Santa Barbara |
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Publications
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| Fouque J, Hu R. (2020) Multiscale Asymptotic Analysis for Portfolio Optimization under Stochastic Environment Multiscale Modeling & Simulation. 18: 1318-1342 |
| Biagini F, Fouque J, Frittelli M, et al. (2020) On Fairness of Systemic Risk Measures Finance and Stochastics. 24: 513-564 |
| Fouque J, Hu R. (2019) Optimal portfolio under fractional stochastic environment Mathematical Finance. 29: 697-734 |
| Biagini F, Fouque J, Frittelli M, et al. (2019) A unified approach to systemic risk measures via acceptance sets Mathematical Finance. 29: 329-367 |
| Fouque J, Hu R. (2018) Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment Siam Journal On Financial Mathematics. 9: 564-601 |
| Fouque J, Ning N. (2018) Uncertain Volatility Models with Stochastic Bounds Siam Journal On Financial Mathematics. 9: 1175-1207 |
| Fouque J, Saporito YF. (2018) Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options Quantitative Finance. 18: 1003-1016 |
| Fouque J, Hu R. (2018) Portfolio Optimization under Fast Mean-Reverting and Rough Fractional Stochastic Environment Applied Mathematical Finance. 25: 361-388 |
| Carmona R, Fouque J, Mousavi SM, et al. (2018) Systemic Risk and Stochastic Games with Delay Journal of Optimization Theory and Applications. 179: 366-399 |
| Fouque J, Hu R. (2017) Asymptotic Optimal Strategy for Portfolio Optimization in a Slowly Varying Stochastic Environment Siam Journal On Control and Optimization. 55: 1990-2023 |