1,229 research outputs found
Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models
No full textUsing spectral decomposition techniques and singular perturbation theory, we develop a systematic method to approximate the prices of a variety of options in a fast mean-reverting stochastic volatility setting. Four examples are provided in order to demonstrate the versatility of our method. These include: European options, up-and-out options, double-barrier knock-out options, and options which pay a rebate upon hitting a boundary. For European options, our method is shown to produce option price approximations which are equivalent to those developed in [5]. [5] Jean-Pierre Fouque, George Papanicolaou, and Sircar Ronnie. Derivatives in Financial Markets with Stochas- tic Volatility. Cambridge University Press, 2000.
Vases de pharmacie toulousains du début du XIXe siècle : Georges Savès, Les pots de pharmacie toulousains de Fouque et Arnoux
No full textJulien Pierre. Vases de pharmacie toulousains du début du XIXe siècle : Georges Savès, Les pots de pharmacie toulousains de Fouque et Arnoux. In: Revue d'histoire de la pharmacie, 68ᵉ année, n°247, 1980. p. 291
Vases de pharmacie toulousains du début du XIXe siècle : Georges Savès, Les pots de pharmacie toulousains de Fouque et Arnoux
No full textJulien Pierre. Vases de pharmacie toulousains du début du XIXe siècle : Georges Savès, Les pots de pharmacie toulousains de Fouque et Arnoux. In: Revue d'histoire de la pharmacie, 68ᵉ année, n°247, 1980. p. 291
Exhausting Demirci-Selçuk Meet-in-the-Middle Attacks Against Reduced-Round AES
No full textInternational audienceIn this paper, we revisit Demirci and Selçuk meet-in-the-middle attacks on AES. We find a way to automatically model SPN block cipher and meet-in-the-middle attacks that allows to perform exhaustive search of this kind of attacks. This search uses the tool developed by Bouillaguet, Derbez and Fouque at CRYPTO 2011 as a subroutine to solve specific systems. We also take into account ideas introduced by Dunkelman, Keller and Shamir at ASIACRYPT 2010 which can be seen as a new tradeoff of the classical time/memory tradeoff used by Demirci and Selçuk. As a result, we automatically recover all the recent improved attacks of Derbez, Fouque and Jean on AES and we show new improved attacks against 8-rounds of AES-192 and AES-256
Diagenesis and stratal packaging of subaerial exposure unconformities in carbonate platforms
No full textFouque B.W., Everts A.J.W., Zwart E.W., Schlager Wolfgang. Diagenesis and stratal packaging of subaerial exposure unconformities in carbonate platforms. In: Géologie Méditerranéenne. Tome 21, numéro 3-4, 1994. Perimediterranean carbonate platforms. First International Meeting. Marseille – France (5-8 septembre 1994) sous la direction de Jean-Pierre Masse. pp. 67-68
Stochastic Differential Games and Systemic Risk Measures
No full textIn the first part of this thesis, we study linear-quadratic stochastic differential games on directed chains inspired by the directed chain stochastic differential equations introduced by Detering, Fouque and Ichiba [1]. We solve explicitly for Nash equilibria with a finite number of players and we study more general finite-player games with a mixture of both directed chain interaction and mean field interaction. We investigate and compare the corresponding games in the limit when the number of players tends to infinity. The limit is characterized by Catalan functions and the dynamics under equilibrium is an infinite-dimensional Gaussian process described by a Catalan Markov chain, with or without the presence of mean field interaction. We then continue the analysis through developing a random directed chain structure by assuming the interaction between every two neighbors is random. We solve explicitly for an open-loop Nash equilibrium for the system and we find that the dynamics under equilibrium is an infinite-dimensional Gaussian process described by a Catalan Markov chain. The discussion about stochastic differential games is extended to a random two-sided directed chain and a random directed tree structure.The second part is about systemic risk measures introduced by Biagini, Fouque, Frittelli, and Meyer-Brandis [2]. We first analyze the systemic risk measures for disjoint and overlapping groups (e.g., central clearing counterparties (CCP)) by proposing new models with realistic game features. Specifically, we generalize the systemic risk measure proposed in [2] by allowing individual banks to choose their preferred groups instead of being assigned to certain groups. We introduce the concept of Nash equilibrium for these new models, and analyze the optimal solution under Gaussian distribution of the risk factor. We also provide an explicit solution for the risk allocation of the individual banks, and study the existence and uniqueness of Nash equilibrium both theoretically and numerically. The developed numerical algorithm can simulate scenarios of equilibrium, and we apply it to study the bank-CCP structure with real data and show the validity of the proposed model.Under the framework in Biagini, Fouque, Frittelli, and Meyer-Brandis [2], systemic risk measures can be interpreted as the minimal amount of cash that secures the aggregated system by allocating capital to the single institutions before aggregating the individual risks. This problem has no explicit solution except in very limited situations. We then apply a deep learning method as a tool to compute the optimal strategy of capital allocations for the risk measures. Deep learning is increasingly receiving attention in financial modelings and risk management and we propose our deep learning based algorithms to solve both the primal and dual problems of the risk measures, and thus to learn the fair risk allocations. In particular, our method for the dual problem involves the training philosophy inspired by the well-known Generative Adversarial Networks (GAN) approach and a newly designed direct estimation of Radon-Nikodym derivative. In the end, we show substantial numerical studies of the subject and provide interpretations of the risk allocations associated with the systemic risk measures. In the particular case of exponential preferences, numerical experiments demonstrate excellent performance of the proposed algorithm, when compared with the optimal explicit solution as a benchmark
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Linear-Quadratic Stochastic Differential Games on Directed Chain Networks
No full textWe study linear-quadratic stochastic differential games on directed chains
inspired by the directed chain stochastic differential equations introduced by
Detering, Fouque, and Ichiba. We solve explicitly for Nash equilibria with a
finite number of players and we study more general finite-player games with a
mixture of both directed chain interaction and mean field interaction. We
investigate and compare the corresponding games in the limit when the number of
players tends to infinity.
The limit is characterized by Catalan functions and the dynamics under
equilibrium is an infinite-dimensional Gaussian process described by a Catalan
Markov chain, with or without the presence of mean field interaction
Variance reduction for Monte Carlo simulation in a stochastic volatility environment
No full textWe propose a variance reduction method for Monte Carlo computation of option prices in the context of stochastic volatility. This method is based on importance sampling using an approximation of the option price obtained by a fast mean-reversion expansion introduced in Fouque et al (2000 Derivatives in Financial Markets with Stochastic Volatility (Cambridge: Cambridge University Press)). We compare this with the small noise expansion method proposed in Fournie et al�(1997 Asymptotic Anal. 14 361-76) and demonstrate numerically the efficiency of our method, in particular in the presence of a skew.
Pricing Asian options with stochastic volatility”,
No full textAbstract In this paper, we generalize the recently developed dimension reduction technique of Vecer for pricing arithmetic average Asian options. The assumption of constant volatility in Vecer's method will be relaxed to the case that volatility is randomly fluctuating and is driven by a mean-reverting (or ergodic) process. We then use the fast mean-reverting stochastic volatility asymptotic analysis introduced by Fouque, Papanicolaou and Sircar to derive an approximation to the option price which takes into account the skew of the implied volatility surface. This approximation is obtained by solving a pair of onedimensional partial differential equations
The Fouque and Arnoux ceramics entreprises in the Toulouse area in the XIXth century : innovation and wide-spread
No full textAu tournant du XIXe siècle, des faïenciers de Provence, Joseph-Jacques Fouque et Antoine Arnoux, s’installent à Toulouse pour faire prospérer un atelier de « faïence anglaise ». En association familiale, ils produisent des faïences et des terres cuites. L’énergie hydraulique permet de mécaniser la production et dès 1825, la faïence fine est imprimée. Grâce à des capitaux réunis dans la région, ils fondent une société, Fouque Arnoux et Cie, en 1829 et construisent une nouvelle manufacture à Saint-Gaudens/Valentine pour produire la porcelaine avec le kaolin des Pyrénées. Léon Arnoux fait des recherches sur les couleurs de grand feu et améliore les fours. Les Fouque et Arnoux expédient dans tout le Midi et exportent vers les colonies. Un atelier de décoration et de revente est dirigé par Gustave Fouque. La manufacture et cet atelier participent aux expositions industrielles à Paris et à Toulouse et reçoivent de nombreux prix. La crise de 1846-1848 provoque la faillite de la société, avec la fermeture et la vente des locaux toulousains ; Léon Arnoux émigre en Angleterre où il devient directeur artistique chez Minton à Stoke-on-Trent. A Saint- Gaudens/Valentine, la production reprend avec Henri Fouque, puis avec des Anglais ; la manufacture ferme définitivement en 1878. Pendant trois quarts de siècle, la manufacture a produit toutes sortes de produits en céramique, donnant à Toulouse un visage à caractère industriel.Around 1800, Provencal potters Joseph-Jacques Fouque and Antoine Arnoux developed a «faïence anglaise» workshop in Toulouse. As a family unit they produced earthenware and terracotta. They employed hydraulic energy to mechanize production to an industrial level. From 1825 their earthenware carried prints and with local funds they founded an enterprise Fouque Arnoux et Cie in 1829 and built a new factory at St-Gaudens/Valentine to produce porcelain from Pyrenean kaolin. Léon Arnoux researched colors and kilns. The Fouques and Arnoux supplied the south of France and exported to the colonies. In parallel a decoration business and shop employed Toulouse artists and sold the latest offerings from Paris. The factory and this workshop won industrial exhibition medals in Paris and Toulouse. The 1846-1848 crises caused the downfall of the company with the closure and sale of the Toulouse properties. Léon Arnoux immigrated to England where he became Minton’s artistic director. In St-Gaudens/Valentine, production restarted with Henri Fouque who called on English capital which never arrived. The manufactory finally closed in 1878. These Provencal manufacturers by the transfer of their knowledge and craft to the Midi area gave Toulouse, more specifically in the second quarter of the XIXth Century, its industrial face and character, this enterprise taking its place among the other French earthenware and porcelain makers
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