Stochastic Evolution Equations for Large Portfolios of Stochastic Volatility Models (Q4607058)
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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 |
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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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