Fast mean-reversion asymptotics for large portfolios of stochastic volatility models (Q784739)
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scientific article; zbMATH DE number 7227003
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| English | Fast mean-reversion asymptotics for large portfolios of stochastic volatility models |
scientific article; zbMATH DE number 7227003 |
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Fast mean-reversion asymptotics for large portfolios of stochastic volatility models (English)
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3 August 2020
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large portfolio
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stochastic volatility
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distance to default
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systemic risk
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mean-field
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SPDE
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fast mean-reversion
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large time-scale
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0.8193166255950928
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0.7896589636802673
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0.7778634428977966
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0.7727862596511841
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0.771242618560791
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