68 citations · 217 across the 38 of their papers we have counts for
6 papers · 1 filter
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 (…
Mean Field Games and Systemic Risk
Rene Carmona, Jean-Pierre Fouque, Li-Hsien Sun
We propose a simple model of inter-bank borrowing and lending where the evolution of the log-monetary reserves of banks is described by a system of diffusion processes coupled…
Small-time asymptotics for fast mean-reverting stochastic volatility models
Jin Feng, Jean-Pierre Fouque, Rohini Kumar
In this paper, we study stochastic volatility models in regimes where the maturity is small, but large compared to the mean-reversion time of the stochastic volatility factor. The…
A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model
Jean-Pierre Fouque, Matthew Lorig
We propose a multi-scale stochastic volatility model in which a fast mean-reverting factor of volatility is built on top of the Heston stochastic volatility model. A singular pertu…
Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models
Jean-Pierre Fouque, Sebastian Jaimungal, Matthew Lorig
Using spectral decomposition techniques and singular perturbation theory, we develop a systematic method to approximate the prices of a variety of options in a fast mean-reverting…
Perturbed Copula: Introducing the skew effect in the co-dependence
Alberto Elices, Jean-Pierre Fouque
Gaussian copulas are widely used in the industry to correlate two random variables when there is no prior knowledge about the co-dependence between them. The perturbed Gaussian cop…