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

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Latest revision as of 07:04, 15 July 2024

scientific article; zbMATH DE number 6849044
Language Label Description Also known as
English
Stochastic Evolution Equations for Large Portfolios of Stochastic Volatility Models
scientific article; zbMATH DE number 6849044

    Statements

    Stochastic Evolution Equations for Large Portfolios of Stochastic Volatility Models (English)
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    12 March 2018
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    SPDE
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    large portfolio
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    distance to default
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    Malliavin calculus
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    stochastic volatility
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    Heston model
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