Jean-Pierre Fouque

Sebastian Jaimungal

Yuri F. Saporito

SIAM J. Financial Math., September, 2022

Sub- and Supersolution Approach to Accuracy Analysis of Portfolio Optimization Asymptotics in Multiscale Stochastic Factor Markets.

[BibT_eX]

[DOI]

SIAM J. Financial Math., 2022

Unified reinforcement Q-learning for mean field game and control problems.

[BibT_eX]

[DOI]

Andrea Angiuli

Mathieu Laurière

Math. Control. Signals Syst., 2022

Reinforcement Learning for Intra-and-Inter-Bank Borrowing and Lending Mean Field Control Game.

[BibT_eX]

[DOI]

Proceedings of the 3rd ACM International Conference on AI in Finance, 2022

Deep Learning for Systemic Risk Measures.

[BibT_eX]

[DOI]

Yichen Feng

Ming Min

Proceedings of the 3rd ACM International Conference on AI in Finance, 2022

2021

Reinforcement Learning for Mean Field Games, with Applications to Economics.

[BibT_eX]

[DOI]

Andrea Angiuli

Mathieu Laurière

CoRR, 2021

2020

Multiscale Asymptotic Analysis for Portfolio Optimization under Stochastic Environment.

[BibT_eX]

[DOI]

Multiscale Model. Simul., 2020

Deep Learning Methods for Mean Field Control Problems With Delay.

[BibT_eX]

[DOI]

Zhaoyu Zhang

Frontiers Appl. Math. Stat., 2020

2018

Uncertain Volatility Models with Stochastic Bounds.

[BibT_eX]

[DOI]

Ning Ning

SIAM J. Financial Math., 2018

Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment.

[BibT_eX]

[DOI]

SIAM J. Financial Math., 2018

Systemic Risk and Stochastic Games with Delay.

[BibT_eX]

[DOI]

René Carmona

Seyyed Mostafa Mousavi

Li-Hsien Sun

J. Optim. Theory Appl., 2018

2017

Perturbation Analysis for Investment Portfolios Under Partial Information with Expert Opinions.

[BibT_eX]

[DOI]

Alex Papanicolaou

SIAM J. Control. Optim., 2017

Asymptotic Optimal Strategy for Portfolio Optimization in a Slowly Varying Stochastic Environment.

[BibT_eX]

[DOI]

SIAM J. Control. Optim., 2017

2016

Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities.

[BibT_eX]

[DOI]

Chi Seng Pun

Hoi Ying Wong

SIAM J. Control. Optim., 2016

Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration.

[BibT_eX]

[DOI]

Matthew J. Lorig

Finance Stochastics, 2016

2014

Approximation for Option Prices under Uncertain Volatility.

[BibT_eX]

[DOI]

Bin Ren

SIAM J. Financial Math., 2014

McMC estimation of multiscale stochastic volatility models with applications.

[BibT_eX]

[DOI]

Chuan-Hsiang Han

German Molina

Math. Comput. Simul., 2014

2013

Stability in a Model of Interbank Lending.

[BibT_eX]

[DOI]

Tomoyuki Ichiba

SIAM J. Financial Math., 2013

2011

A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model.

[BibT_eX]

[DOI]

Matthew J. Lorig

SIAM J. Financial Math., 2011

Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models.

[BibT_eX]

[DOI]

Sebastian Jaimungal

Matthew J. Lorig

SIAM J. Financial Math., 2011

2010

Short-Maturity Asymptotics for a Fast Mean-Reverting Heston Stochastic Volatility Model.

[BibT_eX]

[DOI]

Jin Feng

Martin Forde

SIAM J. Financial Math., 2010

2009

Multiname and Multiscale Default Modeling.

[BibT_eX]

[DOI]

Knut Sølna

Multiscale Model. Simul., 2009

Interacting particle systems for the computation of rare credit portfolio losses.

[BibT_eX]

[DOI]

René Carmona

Douglas Vestal

Finance Stochastics, 2009

2005

Detection of a reflective layer in a random layered medium using time reversal [acoustic measurement method].

[BibT_eX]

[DOI]

Oleg V. Poliannikov

Proceedings of the 2005 IEEE International Conference on Acoustics, 2005

2004

Time Reversal for Dispersive Waves in Random Media.

[BibT_eX]

[DOI]

André Nachbin

Josselin Garnier

SIAM J. Appl. Math., 2004

Maturity cycles in implied volatility.

[BibT_eX]

[DOI]

Finance Stochastics, 2004

2003

Singular Perturbations in Option Pricing.

[BibT_eX]

[DOI]

SIAM J. Appl. Math., 2003

Time-Reversal Aperture Enhancement.

[BibT_eX]

[DOI]

Knut Sølna

Multiscale Model. Simul., 2003

Multiscale Stochastic Volatility Asymptotics.

[BibT_eX]

[DOI]

Multiscale Model. Simul., 2003

Time-Reversed Refocusing of Surface Water Waves.

[BibT_eX]

[DOI]

André Nachbin

Multiscale Model. Simul., 2003

1998

Pressure Fields Generated by Acoustical Pulses Propagating in Randomly Layered Media.

[BibT_eX]

[DOI]

José Chillan

SIAM J. Appl. Math., 1998

1996

Parabolic and Gaussian White Noise Approximation for Wave Propagation in Random Media.

[BibT_eX]

[DOI]

F. Bailly

J. F. Clouet