68 citations · 217 across the 38 of their papers we have counts for
5 papers · 1 filter
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…
Diversity and Arbitrage in a Regulatory Breakup Model
Winslow Strong, Jean-Pierre Fouque
In 1999 Robert Fernholz observed an inconsistency between the normative assumption of existence of an equivalent martingale measure (EMM) and the empirical reality of diversity in…
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…