Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
From MaRDI portal
Publication:3094895
DOI10.1017/CBO9781139020534zbMath1248.91003MaRDI QIDQ3094895
Ronnie Sircar, Knut Sølna, Jean-Pierre Fouque, George S. Papanicolaou
Publication date: 27 October 2011
Full work available at URL: https://doi.org/10.1017/cbo9781139020534
perturbation theory; hedging; option pricing; asymptotic analysis; Vasicek model; defaultable bond; Heston model; short rate model; derivative security; multiscale stochastic volatility model
91-02: Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G80: Financial applications of other theories
91G30: Interest rates, asset pricing, etc. (stochastic models)
91G20: Derivative securities (option pricing, hedging, etc.)
35C20: Asymptotic expansions of solutions to PDEs
91G40: Credit risk
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