Multiname and Multiscale Default Modeling
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Publication:3653224
DOI10.1137/080726719zbMath1179.91264MaRDI QIDQ3653224
Jean-Pierre Fouque, Knut Sølna, Ronnie Sircar
Publication date: 21 December 2009
Published in: Multiscale Modeling & Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/080726719
60G15: Gaussian processes
60J60: Diffusion processes
91G80: Financial applications of other theories
91G20: Derivative securities (option pricing, hedging, etc.)
34F05: Ordinary differential equations and systems with randomness
34E13: Multiple scale methods for ordinary differential equations
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