Jean-Pierre Fouque
CRML Affiliated Faculty
Distinguished Professor, Statistics & Applied Probability
Professor Fouque's research is in the domain of random media with applications ranging from wave propagation phenomena to financial mathematics. He published over one hundred research articles and co-authored three books:
"Derivatives in Financial Markets with Stochastic Volatility" (Cambridge University Press, 2000),
"Wave Propagation and Time Reversal in Randomly Layered Media" (Springer, 2007), and
"Multiscale Stochastic Volatility for Equity, Interest-Rate and Credit Derivatives" (Cambridge University Press, 2011).
Jean-Pierre Fouque received his Ph.D. in Mathematics from the University Pierre et Marie Curie, Paris. He held positions at the CNRS and at the Ecole Polytechique in France, before joining North Carolina State University in 1998 where he started the Masters of Financial Mathematics. In 2006, he joined the department of Statistics and Applied Probability at the University of California Santa Barbara where he is a Distinguished Professor and Co-director of the Center for Financial Mathematics and Actuarial Research (CFMAR). He is currently Editor-in-Chief of the SIAM Journal on Financial Mathematics and Past-President of the Bachelier Finance Society. He is a Fellow of the Institute of Mathematical Statistics since 2009 and a SIAM Fellow since 2011.