Stochastic Evolution Equations for Large Portfolios of Stochastic Volatility Models
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Publication:4607058
DOI10.1137/17M111715XzbMath1407.91221arXiv1701.05640MaRDI QIDQ4607058
Nikolaos Kolliopoulos, Benjamin M. Hambly
Publication date: 12 March 2018
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1701.05640
Financial applications of other theories (91G80) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Portfolio theory (91G10)
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