4 citations · 4 across the 3 of their papers we have counts for
3 papers
q-fin.PR2017
Heston Stochastic Vol-of-Vol Model for Joint Calibration of VIX and S&P 500 Options
Jean-Pierre Fouque, Yuri F. Saporito
A parsimonious generalization of the Heston model is proposed where the volatility-of-volatility is assumed to be stochastic. We follow the perturbation technique of Fouque et al (…
q-fin.MF2017
Uncertain Volatility Models with Stochastic Bounds
Jean-Pierre Fouque, Ning Ning
In this paper, we propose the uncertain volatility models with stochastic bounds. Like the regular uncertain volatility models, we know only that the true model lies in a family of…
q-fin.MF2015★ 4 cited
A Unified Approach to Systemic Risk Measures via Acceptance Sets
Francesca Biagini, Jean-Pierre Fouque, Marco Frittelli +1
The financial crisis has dramatically demonstrated that the traditional approach to apply univariate monetary risk measures to single institutions does not capture sufficiently the…