68 citations · 217 across the 38 of their papers we have counts for
15 papers · 1 filter
Collective Arbitrage and the Value of Cooperation
Francesca Biagini, Alessandro Doldi, Jean-Pierre Fouque +2
We introduce the notions of Collective Arbitrage and of Collective Super-replication in a discrete-time setting where agents are investing in their markets and are allowed to coope…
Deep Learning for Systemic Risk Measures
Yichen Feng, Ming Min, Jean-Pierre Fouque
The aim of this paper is to study a new methodological framework for systemic risk measures by applying deep learning method as a tool to compute the optimal strategy of capital al…
Systemic Risk Models for Disjoint and Overlapping Groups with Equilibrium Strategies
Yichen Feng, Jean-Pierre Fouque, Ruimeng Hu +1
We analyze the systemic risk for disjoint and overlapping groups (e.g., central clearing counterparties (CCP)) by proposing new models with realistic game features. Specifically, w…
Sub- and Super-solution Approach to Accuracy Analysis of Portfolio Optimization Asymptotics in Multiscale Stochastic Factor Market
Jean-Pierre Fouque, Ruimeng Hu, Ronnie Sircar
The problem of portfolio optimization when stochastic factors drive returns and volatilities has been studied in previous works by the authors. In particular, they proposed asympto…
Optimal Trading with Signals and Stochastic Price Impact
Jean-Pierre Fouque, Sebastian Jaimungal, Yuri F. Saporito
Trading frictions are stochastic. They are, moreover, in many instances fast-mean reverting. Here, we study how to optimally trade in a market with stochastic price impact and stud…
Optimal Investment with Correlated Stochastic Volatility Factors
Maxim Bichuch, Jean-Pierre Fouque
The problem of portfolio allocation in the context of stocks evolving in random environments, that is with volatility and returns depending on random factors, has attracted a lot o…
Systemic Optimal Risk Transfer Equilibrium
Francesca Biagini, Alessandro Doldi, Jean-Pierre Fouque +2
We propose a novel concept of a Systemic Optimal Risk Transfer Equilibrium (SORTE), which is inspired by the Bühlmann's classical notion of an Equilibrium Risk Exchange. We provide…
Multiscale Asymptotic Analysis for Portfolio Optimization under Stochastic Environment
Jean-Pierre Fouque, Ruimeng Hu
Empirical studies indicate the presence of multi-scales in the volatility of underlying assets: a fast-scale on the order of days and a slow-scale on the order of months. In our pr…
Portfolio Optimization under Fast Mean-reverting and Rough Fractional Stochastic Environment
Jean-Pierre Fouque, Ruimeng Hu
Fractional stochastic volatility models have been widely used to capture the non-Markovian structure revealed from financial time series of realized volatility. On the other hand,…
On Fairness of Systemic Risk Measures
Francesca Biagini, Jean-Pierre Fouque, Marco Frittelli +1
In our previous paper, "A Unified Approach to Systemic Risk Measures via Acceptance Set" (\textit{Mathematical Finance, 2018}), we have introduced a general class of systemic risk…
Optimal Portfolio under Fractional Stochastic Environment
Jean-Pierre Fouque, Ruimeng Hu
Rough stochastic volatility models have attracted a lot of attentions recently, in particular for the linear option pricing problem. In this paper, starting with power utilities, w…
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…
Systemic Risk and Stochastic Games with Delay
Rene Carmona, Jean-Pierre Fouque, Seyyed Mostafa Mousavi +1
We propose a model of inter-bank lending and borrowing which takes into account clearing debt obligations. The evolution of log-monetary reserves of banks is described by coupl…
Asymptotic Optimal Strategy for Portfolio Optimization in a Slowly Varying Stochastic Environment
Jean-Pierre Fouque, Ruimeng Hu
In this paper, we study the portfolio optimization problem with general utility functions and when the return and volatility of underlying asset are slowly varying. An asymptotic o…
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…