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1
Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
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Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives

J.-P. Fouque, G. Papanicolaou, R. Sircar, and K. Sølna 2011 ;ISBN: 0521843588 ;ISBN: 9780521843584 ;EISBN: 9781139020534 ;EISBN: 1139020536 ;EISBN: 1139157019 ;EISBN: 9781139157018 ;DOI: 10.1017/CBO9781139020534 ;OCLC: 763159208

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2
Deep Learning Methods for Mean Field Control Problems With Delay
Deep Learning Methods for Mean Field Control Problems With Delay
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Deep Learning Methods for Mean Field Control Problems With Delay

Frontiers in applied mathematics and statistics, 2020-05, Vol.6 [Peer Reviewed Journal]

ISSN: 2297-4687 ;EISSN: 2297-4687 ;DOI: 10.3389/fams.2020.00011

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3
On fairness of systemic risk measures
On fairness of systemic risk measures
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On fairness of systemic risk measures

Finance and stochastics, 2020-04, Vol.24 (2), p.513-564 [Peer Reviewed Journal]

The Author(s) 2020 ;Finance and Stochastics is a copyright of Springer, (2020). All Rights Reserved. This work is published under http://creativecommons.org/licenses/by/4.0/ (the “License”). Notwithstanding the ProQuest Terms and Conditions, you may use this content in accordance with the terms of the License. ;info:eu-repo/semantics/openAccess ;ISSN: 1432-1122 ;ISSN: 0949-2984 ;EISSN: 1432-1122 ;DOI: 10.1007/s00780-020-00417-4

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4
Handbook on Systemic Risk
Handbook on Systemic Risk
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Handbook on Systemic Risk

Cambridge University Press 2013 ;ISBN: 1107023432 ;ISBN: 9781107023437 ;EISBN: 9781139151184 ;EISBN: 1139151185 ;DOI: 10.1017/CBO9781139151184

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5
Systemic optimal risk transfer equilibrium
Systemic optimal risk transfer equilibrium
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Systemic optimal risk transfer equilibrium

Mathematics and financial economics, 2021-03, Vol.15 (2), p.233-274 [Peer Reviewed Journal]

The Author(s) 2021 ;The Author(s) 2021. This work is published under http://creativecommons.org/licenses/by/4.0/ (the “License”). Notwithstanding the ProQuest Terms and Conditions, you may use this content in accordance with the terms of the License. ;ISSN: 1862-9679 ;EISSN: 1862-9660 ;DOI: 10.1007/s11579-020-00277-8

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6
Mean Field Game with Delay: A Toy Model
Mean Field Game with Delay: A Toy Model
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Mean Field Game with Delay: A Toy Model

Risks (Basel), 2018-09, Vol.6 (3), p.90 [Peer Reviewed Journal]

2018. This work is licensed under http://creativecommons.org/licenses/by/4.0/ (the “License”). Notwithstanding the ProQuest Terms and Conditions, you may use this content in accordance with the terms of the License. ;ISSN: 2227-9091 ;EISSN: 2227-9091 ;DOI: 10.3390/risks6030090

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7
Unified reinforcement Q-learning for mean field game and control problems
Unified reinforcement Q-learning for mean field game and control problems
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Unified reinforcement Q-learning for mean field game and control problems

Mathematics of control, signals, and systems, 2022-06, Vol.34 (2), p.217-271 [Peer Reviewed Journal]

The Author(s), under exclusive licence to Springer-Verlag London Ltd., part of Springer Nature 2021 ;The Author(s), under exclusive licence to Springer-Verlag London Ltd., part of Springer Nature 2021. ;ISSN: 0932-4194 ;EISSN: 1435-568X ;DOI: 10.1007/s00498-021-00310-1

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8
Multiscale Stochastic Volatility Asymptotics
Multiscale Stochastic Volatility Asymptotics
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Multiscale Stochastic Volatility Asymptotics

Multiscale modeling & simulation, 2003-01, Vol.2 (1), p.22-42 [Peer Reviewed Journal]

[Copyright] © 2003 Society for Industrial and Applied Mathematics ;ISSN: 1540-3459 ;EISSN: 1540-3467 ;DOI: 10.1137/030600291

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9
Systemic Risk and Stochastic Games with Delay
Systemic Risk and Stochastic Games with Delay
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Systemic Risk and Stochastic Games with Delay

Journal of optimization theory and applications, 2018-11, Vol.179 (2), p.366-399 [Peer Reviewed Journal]

Springer Science+Business Media, LLC, part of Springer Nature 2018 ;Journal of Optimization Theory and Applications is a copyright of Springer, (2018). All Rights Reserved. ;ISSN: 0022-3239 ;EISSN: 1573-2878 ;DOI: 10.1007/s10957-018-1267-8

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10
Wave Propagation and Time Reversal in Randomly Layered Media
Wave Propagation and Time Reversal in Randomly Layered Media
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Wave Propagation and Time Reversal in Randomly Layered Media

ISSN: 0172-4568 ;ISBN: 9780387498089 ;ISBN: 0387498087 ;ISBN: 0387308903 ;ISBN: 9780387308906 ;EISBN: 9780387498089 ;EISBN: 0387498087 ;OCLC: 184908833

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11
Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration
Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration
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Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration

Finance and stochastics, 2016-07, Vol.20 (3), p.543-588 [Peer Reviewed Journal]

Springer-Verlag Berlin Heidelberg 2016 ;ISSN: 0949-2984 ;EISSN: 1432-1122 ;DOI: 10.1007/s00780-016-0298-y

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12
Diffuse Waves in Complex Media
Diffuse Waves in Complex Media
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Diffuse Waves in Complex Media

Kluwer Academic Publishers 1999 ;ISSN: 1389-2185 ;ISBN: 9780792356806 ;ISBN: 0792356802 ;ISBN: 0792356799 ;ISBN: 9780792356790 ;ISBN: 9789401145732 ;ISBN: 9401145733 ;EISBN: 9789401145725 ;EISBN: 9401145725 ;DOI: 10.1007/978-94-011-4572-5 ;OCLC: 958537962 ;OCLC: 1245665962

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13
Stochastic Volatility Corrections for Interest Rate Derivatives
Stochastic Volatility Corrections for Interest Rate Derivatives
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Stochastic Volatility Corrections for Interest Rate Derivatives

Mathematical finance, 2004-04, Vol.14 (2), p.173-200 [Peer Reviewed Journal]

Copyright Blackwell Publishers Inc. Apr 2004 ;ISSN: 0960-1627 ;EISSN: 1467-9965 ;DOI: 10.1111/j.0960-1627.2004.00188.x

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14
Stability in a Model of Interbank Lending
Stability in a Model of Interbank Lending
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Stability in a Model of Interbank Lending

SIAM journal on financial mathematics, 2013-01, Vol.4 (1), p.784-803 [Peer Reviewed Journal]

2013, Society for Industrial and Applied Mathematics ;ISSN: 1945-497X ;EISSN: 1945-497X ;DOI: 10.1137/110841096

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15
Econometrics and Risk Management
Econometrics and Risk Management
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Econometrics and Risk Management

ISBN: 1848551975 ;ISBN: 9781848551978 ;ISBN: 9781848551961 ;ISBN: 1848551967 ;EISBN: 1848551975 ;EISBN: 9781848551978 ;OCLC: 535128174

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16
Wave Propagation and Time Reversal in Randomly Layered Media
Wave Propagation and Time Reversal in Randomly Layered Media
Material Type:
Book 		Add to My Research

Wave Propagation and Time Reversal in Randomly Layered Media

Springer Science+Business Media, LLC 2007 ;ISSN: 0172-4568 ;ISBN: 0387308903 ;ISBN: 9780387308906 ;EISBN: 9780387498089 ;EISBN: 0387498087 ;DOI: 10.1007/978-0-387-49808-9

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17
Approximation for Option Prices under Uncertain Volatility
Approximation for Option Prices under Uncertain Volatility
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Approximation for Option Prices under Uncertain Volatility

SIAM journal on financial mathematics, 2014-01, Vol.5 (1), p.360-383 [Peer Reviewed Journal]

2014, Society for Industrial and Applied Mathematics ;ISSN: 1945-497X ;EISSN: 1945-497X ;DOI: 10.1137/130908385

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18
Short-Maturity Asymptotics for a Fast Mean-Reverting Heston Stochastic Volatility Model
Short-Maturity Asymptotics for a Fast Mean-Reverting Heston Stochastic Volatility Model
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Short-Maturity Asymptotics for a Fast Mean-Reverting Heston Stochastic Volatility Model

SIAM journal on financial mathematics, 2010-01, Vol.1 (1), p.126-141 [Peer Reviewed Journal]

Copyright Society for Industrial and Applied Mathematics 2010 ;ISSN: 1945-497X ;EISSN: 1945-497X ;DOI: 10.1137/090745465

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19
A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model
A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model
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A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model

SIAM journal on financial mathematics, 2011-01, Vol.2 (1), p.221-254 [Peer Reviewed Journal]

[Copyright] © 2011 Society for Industrial and Applied Mathematics ;ISSN: 1945-497X ;EISSN: 1945-497X ;DOI: 10.1137/090761458

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20
Interacting particle systems for the computation of rare credit portfolio losses
Interacting particle systems for the computation of rare credit portfolio losses
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Article 		Add to My Research

Interacting particle systems for the computation of rare credit portfolio losses

Finance and stochastics, 2009-09, Vol.13 (4), p.613-633 [Peer Reviewed Journal]

The Author(s) 2009 ;Springer-Verlag 2009 ;ISSN: 0949-2984 ;EISSN: 1432-1122 ;DOI: 10.1007/s00780-009-0098-8

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