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- Jean-Pierre Fouque, George Papanicolaou, K Ronnie Sircar, Knut Solna, Cambridge Uni, J.-P Fouque +3 others
- 2011

Research interests. In the past I have been interested in waves and diffusion in inhomogeneous or random media and in the mathematical analysis of multi-scale phenomena that arise in their study. Applications come from electromagnetic wave propagation in the atmosphere, underwater sound, waves in the lithosphere, diffusion in porous media, etc. I have… (More)

In this paper we propose to use a combination of regular and singular perturbations to analyze parabolic PDEs that arise in the context of pricing options when the volatility is a stochastic process that varies on several characteristic time scales. The classical Black-Scholes formula gives the price of call options when the underlying is a geometric… (More)

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 pertubative expansion is then used to obtain an approximation for European option prices. The resulting pricing formulas are semi-analytic, in the sense that they can be expressed as… (More)

After the celebrated Black-Scholes formula for pricing call options under constant volatility, the need for more general nonconstant volatility models in financial mathematics has been the motivation of numerous works during the Eighties and Nineties. In particular, a lot of attention has been paid to stochastic volatility models where the volatility is… (More)

Multiscale stochastic volatility models have been developed as an efficient way to capture the principle effects on derivative pricing and portfolio optimization of randomly varying volatility. The recent book Fouque, Papanicolaou, Sircar and Sølna (2011, CUP) analyzes models in which the volatility of the underlying is driven by two diffusions – one fast… (More)

In this paper, we introduce the use of interacting particle systems in the computation of probabilities of simultaneous defaults in large credit portfolios. The method can be applied to compute small historical as well as risk neutral probabilities. It only requires that the model be based on a background Markov chain for which a simulation algorithm is… (More)

This paper investigates the pressure eld generated at the bottom of a high-contrast randomly layered slab by an acoustical pulse emitted at the surface of the slab. This analysis takes place in the framework introduced by Asch, Kohler, Papanicolaou, Postel and White 1] where the incident pulse wave length is long compared to the correlation length of the… (More)

- Jean-Pierre Fouque, George Papanicolaou, K Ronnie Sircar
- 1998

We present derivative pricing and estimation tools for a class of stochastic volatility models that exploit the observed "bursty" or persistent nature of stock price volatility. An empirical analysis of high-frequency S&P 500 index data connrms that volatility reverts slowly to its mean in comparison to the tick-by-tick uctuations of the index value, but it… (More)

The skew effect in market implied volatility can be reproduced by option pricing theory based on stochastic volatility models for the price of the underlying asset. Here we study the performance of the calibration of the S&P 500 implied volatility surface using the asymptotic pricing theory under fast mean-reverting stochastic volatility described in [7].… (More)