Simulation of Conditional Expectations Under Fast Mean-Reverting Stochastic Volatility Models

DOI10.1007/978-3-030-98319-2_11arXiv2012.09726OpenAlexW3113119849MaRDI QIDQ6154295

Christoph Reisinger, Unnamed Author

Publication date: 14 February 2024

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2012.09726

zbMATH Keywords

ergodicitymultiple time scalescommon noisestochastic filteringparticle systemsbasket credit derivatives

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Dynamical systems and their relations with probability theory and stochastic processes (37A50)

Cites Work

• Unnamed Item
• Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives
• Sharp regularity near an absorbing boundary for solutions to second order SPDEs in a half-line with constant coefficients
• Fast mean-reversion asymptotics for large portfolios of stochastic volatility models
• Multiple time scales and the exponential Ornstein–Uhlenbeck stochastic volatility model
• MEAN-REVERTING STOCHASTIC VOLATILITY
• A table of normal integrals
• Stochastic Evolution Equations for Large Portfolios of Stochastic Volatility Models
• Multiscale Stochastic Volatility Asymptotics
• Stochastic Finite Differences and Multilevel Monte Carlo for a Class of SPDEs in Finance
• Stochastic Evolution Equations in Portfolio Credit Modelling

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