Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (Q3094895)

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Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
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    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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