Multiscale stochastic volatility for equity, interest rate, and credit derivatives. (Q3094895)
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scientific article; zbMATH DE number 5964574
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| English | Multiscale stochastic volatility for equity, interest rate, and credit derivatives. |
scientific article; zbMATH DE number 5964574 |
Statements
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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0.8642524480819702
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0.8563733100891113
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0.8149992227554321
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