Stochastic evolution equations for large portfolios of stochastic volatility models (Q4607058)
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scientific article; zbMATH DE number 6849044
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| English | Stochastic evolution equations for large portfolios of stochastic volatility models |
scientific article; zbMATH DE number 6849044 |
Statements
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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0.8497864007949829
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0.8382234573364258
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0.8193166255950928
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0.785122811794281
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0.7789584398269653
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