Fast mean-reversion asymptotics for large portfolios of stochastic volatility models

DOI10.1007/s00780-020-00422-7zbMath1447.91161arXiv1811.08808OpenAlexW3105585061MaRDI QIDQ784739

Nikolaos Kolliopoulos, Benjamin M. Hambly

Publication date: 3 August 2020

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1811.08808

zbMATH Keywords

stochastic volatilitySPDEsystemic riskmean-fielddistance to defaultfast mean-reversionlarge portfoliolarge time-scale

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Portfolio theory (91G10)

Related Items (max. 100)

Well-posedness of a system of SDEs driven by jump random measures ⋮ Simulation of Conditional Expectations Under Fast Mean-Reverting Stochastic Volatility Models ⋮ Large portfolio losses in a turbulent market

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