Jean‐Pierre Fouque

5.7k total citations · 1 hit paper
86 papers, 2.9k citations indexed

About

Jean‐Pierre Fouque is a scholar working on Finance, Economics and Econometrics and Mathematical Physics. According to data from OpenAlex, Jean‐Pierre Fouque has authored 86 papers receiving a total of 2.9k indexed citations (citations by other indexed papers that have themselves been cited), including 59 papers in Finance, 18 papers in Economics and Econometrics and 13 papers in Mathematical Physics. Recurrent topics in Jean‐Pierre Fouque's work include Stochastic processes and financial applications (56 papers), Financial Risk and Volatility Modeling (35 papers) and Financial Markets and Investment Strategies (14 papers). Jean‐Pierre Fouque is often cited by papers focused on Stochastic processes and financial applications (56 papers), Financial Risk and Volatility Modeling (35 papers) and Financial Markets and Investment Strategies (14 papers). Jean‐Pierre Fouque collaborates with scholars based in United States, France and Brazil. Jean‐Pierre Fouque's co-authors include George Papanicolaou, Keya Sircar, Knut Sølna, Ronnie Sircar, René Carmona, Li‐Hsien Sun, George Papanicolaou, Josselin Garnier, André Nachbin and Matthew Lorig and has published in prestigious journals such as Physical Review Letters, Physica D Nonlinear Phenomena and Journal of the Optical Society of America B.

In The Last Decade

Jean‐Pierre Fouque

84 papers receiving 2.6k citations

Hit Papers

Derivatives in Financial Markets with Stochastic Volatility 2000 2026 2008 2017 2000 200 400 600
What are hit papers?

Hit papers significantly outperform the citation benchmark for their cohort. A paper qualifies if it has ≥500 total citations, achieves ≥1.5× the top-1% citation threshold for papers in the same subfield and year (this is the minimum needed to enter the top 1%, not the average within it), or reaches the top citation threshold in at least one of its specific research topics.

  1. Derivatives in Financial Markets with Stochastic Volatility
    2000 608 citations Jean‐Pierre Fouque, George Papanicolaou et al. profile →

Peers — A (Enhanced Table)

Peers by citation overlap · career bar shows stage (early→late) cites · hero ref

Name h Career Trend Papers Cites
Jean‐Pierre Fouque United States 27 2.0k 801 370 356 303 86 2.9k
Cornelis W. Oosterlee Netherlands 35 2.3k 1.2× 425 0.5× 609 1.6× 428 1.2× 113 0.4× 249 4.4k
Marco Avellaneda United States 29 1.3k 0.7× 718 0.9× 94 0.3× 374 1.1× 262 0.9× 102 3.0k
Knut Sølna United States 23 580 0.3× 230 0.3× 100 0.3× 55 0.2× 458 1.5× 100 2.0k
Panagiotis E. Souganidis United States 39 1.2k 0.6× 393 0.5× 122 0.3× 208 0.6× 1.3k 4.4× 130 5.7k
Denis Talay France 24 1.4k 0.7× 201 0.3× 198 0.5× 191 0.5× 389 1.3× 64 2.6k
Paul Wilmott United Kingdom 25 2.2k 1.1× 963 1.2× 252 0.7× 316 0.9× 112 0.4× 80 3.0k
Yue Kuen Kwok Hong Kong 22 1.3k 0.7× 508 0.6× 463 1.3× 216 0.6× 45 0.1× 163 2.1k
Kiyosi Itô Japan 19 1.3k 0.6× 318 0.4× 71 0.2× 249 0.7× 1.0k 3.4× 32 3.4k
Jan Seidler Czechia 14 1.3k 0.6× 415 0.5× 164 0.4× 219 0.6× 386 1.3× 29 2.0k
Guy Barles France 39 1.9k 0.9× 611 0.8× 240 0.6× 366 1.0× 862 2.8× 112 5.5k

Countries citing papers authored by Jean‐Pierre Fouque

Since Specialization
Citations

This map shows the geographic impact of Jean‐Pierre Fouque's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Jean‐Pierre Fouque with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Jean‐Pierre Fouque more than expected).

Fields of papers citing papers by Jean‐Pierre Fouque

Since Specialization
Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by Jean‐Pierre Fouque. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Jean‐Pierre Fouque. The network helps show where Jean‐Pierre Fouque may publish in the future.

Co-authorship network of co-authors of Jean‐Pierre Fouque

This figure shows the co-authorship network connecting the top 25 collaborators of Jean‐Pierre Fouque. A scholar is included among the top collaborators of Jean‐Pierre Fouque based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with Jean‐Pierre Fouque. Jean‐Pierre Fouque is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

20 of 20 papers shown
1.
Fouque, Jean‐Pierre, et al.. (2023). Reinforcement Learning Algorithm for Mixed Mean Field Control Games. 2(2). 108–137. 3 indexed citations
2.
Fouque, Jean‐Pierre, et al.. (2020). Deep Learning Methods for Mean Field Control Problems With Delay. Frontiers in Applied Mathematics and Statistics. 6. 32 indexed citations
3.
Fouque, Jean‐Pierre, et al.. (2019). Optimal Investment with Correlated Stochastic Volatility Factors. SSRN Electronic Journal.
4.
Fouque, Jean‐Pierre & Ning Ning. (2018). Uncertain Volatility Models with Stochastic Bounds. SIAM Journal on Financial Mathematics. 9(4). 1175–1207. 7 indexed citations
5.
Fouque, Jean‐Pierre, et al.. (2018). Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment. SIAM Journal on Financial Mathematics. 9(2). 564–601. 18 indexed citations
6.
Fouque, Jean‐Pierre, Andrew C. Papanicolaou, & Ronnie Sircar. (2015). Filtering and portfolio optimization with stochastic unobserved drift in asset returns. Communications in Mathematical Sciences. 13(4). 935–953. 18 indexed citations
7.
Molina, Germán, et al.. (2014). McMC estimation of multiscale stochastic volatility models with applications. Mathematics and Computers in Simulation. 103. 1–11. 4 indexed citations
8.
Fouque, Jean‐Pierre, Ronnie Sircar, & Thaleia Zariphopoulou. (2013). Portfolio Optimization & Stochastic Volatility Asymptotics. SSRN Electronic Journal. 14 indexed citations
9.
Feng, Jin, Martin Forde, & Jean‐Pierre Fouque. (2010). Short-Maturity Asymptotics for a Fast Mean-Reverting Heston Stochastic Volatility Model. SIAM Journal on Financial Mathematics. 1(1). 126–141. 35 indexed citations
10.
Fouque, Jean‐Pierre, et al.. (2006). Stochastic Volatility Effects on Defaultable Bonds. Applied Mathematical Finance. 13(3). 215–244. 54 indexed citations
11.
Haider, Mansoor A., Kurang Mehta, & Jean‐Pierre Fouque. (2004). Time-reversal simulations for detection in randomly layered media. Waves in Random Media. 14(2). 185–198. 5 indexed citations
12.
Fouque, Jean‐Pierre, George Papanicolaou, Ronnie Sircar, & Knut Sølna. (2004). Timing the smile. Wilmott. 2004(2). 59–65. 6 indexed citations
13.
Fouque, Jean‐Pierre, et al.. (2004). Stochastic Volatility Corrections for Interest Rate Derivatives. Mathematical Finance. 14(2). 173–200. 12 indexed citations
14.
Fouque, Jean‐Pierre & André Nachbin. (2003). Time-Reversed Refocusing of Surface Water Waves. Multiscale Modeling and Simulation. 1(4). 609–629. 13 indexed citations
15.
Fouque, Jean‐Pierre, George Papanicolaou, & Keya Sircar. (2000). MEAN-REVERTING STOCHASTIC VOLATILITY. International Journal of Theoretical and Applied Finance. 3(1). 101–142. 115 indexed citations
16.
Bailly, F., et al.. (1996). Parabolic and Gaussian White Noise Approximation for Wave Propagation in Random Media. SIAM Journal on Applied Mathematics. 56(5). 1445–1470. 28 indexed citations
17.
Fouque, Jean‐Pierre, et al.. (1994). Totally asymmetric attractive particle systems on Z hydrodynamic limit for general initial profiles. Stochastic Processes and their Applications. 51(1). 9–23. 1 indexed citations
18.
Benassi, Andrea, et al.. (1991). Asymmetric attractive particle systems on Z: Hydrodynamic limit for monotone initial profiles. Journal of Statistical Physics. 63(3-4). 719–735. 5 indexed citations
19.
Benassi, Albert & Jean‐Pierre Fouque. (1988). Hydrodynamical limit for the asymmetric zero-range process. French digital mathematics library (Numdam). 24(2). 189–200. 4 indexed citations
20.
Fouque, Jean‐Pierre. (1983). The past of a stopping point and stopping for two-parameter processes. Journal of Multivariate Analysis. 13(4). 561–577. 4 indexed citations

Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.

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