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Latest revision as of 11:23, 30 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives |
scientific article |
Statements
Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (English)
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27 October 2011
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multiscale stochastic volatility model
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derivative security
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option pricing
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hedging
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perturbation theory
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asymptotic analysis
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Vasicek model
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Heston model
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short rate model
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defaultable bond
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