68 citations · 217 across the 38 of their papers we have counts for
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q-fin.CP2013★ 8 cited
Multiscale Stochastic Volatility Model for Derivatives on Futures
Jean-Pierre Fouque, Yuri F. Saporito, Jorge P. Zubelli
In this paper we present a new method to compute the first-order approximation of the price of derivatives on futures in the context of multiscale stochastic volatility of Fouque \…
q-fin.PR2013★ 8 cited
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…