Stochastic Evolution Equations for Large Portfolios of Stochastic Volatility Models (Q4607058): Difference between revisions

@@ Property / author @@
-Benjamin M. Hambly
@@ Property / author: Benjamin M. Hambly / rank @@
-Normal rank
@@ Property / author @@
+Benjamin M. Hambly
@@ Property / author: Benjamin M. Hambly / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.05640
@@ Property / arXiv ID: 1701.05640 / rank @@
+Normal rank
@@ Property / cites work @@
+École d'été de probabilités de Saint-Flour XIII - 1983
+Normal rank
@@ Property / cites work @@
+Malliavin differentiability of the Heston volatility and applications to option pricing
+Normal rank
@@ Property / cites work @@
+Stochastic Evolution Equations in Portfolio Credit Modelling
+Normal rank
@@ Property / cites work @@
+LARGE PORTFOLIO ASYMPTOTICS FOR LOSS FROM DEFAULT
@@ Property / cites work: LARGE PORTFOLIO ASYMPTOTICS FOR LOSS FROM DEFAULT / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Finite Differences and Multilevel Monte Carlo for a Class of SPDEs in Finance
+Normal rank
@@ Property / cites work @@
+A stochastic McKean-Vlasov equation for absorbing diffusions on the half-line
+Normal rank
@@ Property / cites work @@
+Q3195636
@@ Property / cites work: Q3195636 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3530675
@@ Property / cites work: Q3530675 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4845604
@@ Property / cites work: Q4845604 / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic arbitrage in large financial markets
@@ Property / cites work: Asymptotic arbitrage in large financial markets / rank @@
+Normal rank
@@ Property / cites work @@
+Macroscopic limits for stochastic partial differential equations of McKean-Vlasov type
+Normal rank
@@ Property / cites work @@
+A \(W_ 2^ n\)-theory of the Dirichlet problem for SPDEs in general smooth domains
+Normal rank
@@ Property / cites work @@
+Stochastic evolution equations
@@ Property / cites work: Stochastic evolution equations / rank @@
+Normal rank
@@ Property / cites work @@
+Particle representations for a class of nonlinear SPDEs
+Normal rank
@@ Property / cites work @@
+Sharp regularity near an absorbing boundary for solutions to second order SPDEs in a half-line with constant coefficients
+Normal rank
@@ Property / cites work @@
+Q4842684
@@ Property / cites work: Q4842684 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4508926
@@ Property / cites work: Q4508926 / rank @@
+Normal rank
@@ Property / cites work @@
+Large-Scale Loan Portfolio Selection
@@ Property / cites work: Large-Scale Loan Portfolio Selection / rank @@
+Normal rank
@@ Property / cites work @@
+Fluctuation analysis for the loss from default
@@ Property / cites work: Fluctuation analysis for the loss from default / rank @@
+Normal rank
@@ Property / cites work @@
+Recovery rates in investment-grade pools of credit assets: a large deviations analysis
+Normal rank
@@ Property / cites work @@
+Default Clustering in Large Pools: Large Deviations
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:4607058