Pages that link to "Item:Q3094895"
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The following pages link to Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (Q3094895):
Displayed 34 items.
- Large deviations for some fast stochastic volatility models by viscosity methods (Q255794) (← links)
- Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration (Q309158) (← links)
- Optimal switching decisions under stochastic volatility with fast mean reversion (Q322644) (← links)
- Investment timing under hybrid stochastic and local volatility (Q340490) (← links)
- Option price with stochastic volatility for both fast and slow mean-reverting regimes (Q357435) (← links)
- Backward stochastic differential equations approach to hedging, option pricing, and insurance problems (Q462406) (← links)
- Stochastic elasticity of variance with stochastic interest rates (Q892883) (← links)
- Option pricing and implied volatilities in a 2-hypergeometric stochastic volatility model (Q899403) (← links)
- Optimal investment in multidimensional Markov-modulated affine models (Q902185) (← links)
- Asymptotic analysis for one-name credit derivatives (Q2015749) (← links)
- Portfolio optimization under convex incentive schemes (Q2255013) (← links)
- A closed-form analytic correction to the Black-Scholes-Merton price for perpetual American options (Q2339349) (← links)
- Portfolio optimization for pension plans under hybrid stochastic and local volatility. (Q2343843) (← links)
- Robust investment-reinsurance optimization with multiscale stochastic volatility (Q2347077) (← links)
- Pricing vulnerable options under a stochastic volatility model (Q2349261) (← links)
- Multiscale analysis on the pricing of intensity-based defaultable bonds (Q2375480) (← links)
- The Heston Riemannian distance function (Q2436820) (← links)
- A semi-analytic pricing formula for lookback options under a general stochastic volatility model (Q2438502) (← links)
- Convergence in multiscale financial models with non-Gaussian stochastic volatility (Q2808055) (← links)
- Asymptotic Analysis of Forward Performance Processes in Incomplete Markets and Their Ill-Posed HJB Equations (Q2819095) (← links)
- Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities (Q2820186) (← links)
- MULTISCALE STOCHASTIC VOLATILITY MODEL FOR DERIVATIVES ON FUTURES (Q2941058) (← links)
- Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations and Implied Sharpe Ratio (Q3188150) (← links)
- Hedging Under an Expected Loss Constraint with Small Transaction Costs (Q3188153) (← links)
- ASYMPTOTIC ARBITRAGE IN THE HESTON MODEL (Q3467601) (← links)
- VaR/CVaR ESTIMATION UNDER STOCHASTIC VOLATILITY MODELS (Q4979882) (← links)
- Portfolio optimization under the stochastic elasticity of variance (Q5170138) (← links)
- Asymptotics of Forward Implied Volatility (Q5250047) (← links)
- Analytical Expansions for Parabolic Equations (Q5264986) (← links)
- The exact smile of certain local volatility models (Q5397427) (← links)
- On the performance of asymptotic locally risk minimising hedges in the Heston stochastic volatility model (Q5397430) (← links)
- LOCAL STOCHASTIC VOLATILITY WITH JUMPS: ANALYTICAL APPROXIMATIONS (Q5411747) (← links)
- PRICING DERIVATIVES ON MULTISCALE DIFFUSIONS: AN EIGENFUNCTION EXPANSION APPROACH (Q5416705) (← links)
- Large-maturity regimes of the Heston forward smile (Q5965371) (← links)