Simulation of Conditional Expectations Under Fast Mean-Reverting Stochastic Volatility Models (Q6154295)
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scientific article; zbMATH DE number 7805188
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| English | Simulation of Conditional Expectations Under Fast Mean-Reverting Stochastic Volatility Models |
scientific article; zbMATH DE number 7805188 |
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Simulation of Conditional Expectations Under Fast Mean-Reverting Stochastic Volatility Models (English)
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14 February 2024
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particle systems
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common noise
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multiple time scales
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ergodicity
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stochastic filtering
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basket credit derivatives
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0.767047643661499
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0.7616831660270691
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0.7453793287277222
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0.7420257925987244
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0.7344459891319275
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