68 citations · 217 across the 38 of their papers we have counts for
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q-fin.MF2016★ 16 cited
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…
q-fin.MF2016★ 3 cited
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…