Analysis of stochastic PDEs arising from large portfolios of stochastic volatility models
Nikolaos Kolliopoulos
| Year of publication: |
[2018?]
|
|---|---|
| Authors: | Kolliopoulos, Nikolaos |
| Publisher: |
Oxford |
| Subject: | probabilistic solution | partial Malliavin calculus | empirical limit | large portfolio limit | CIR process | fast mean-reverting asymptotics | half-space | boundary condition | conditional expectation | mean-reverting | empirical measure | Sobolev estimate | stochastic volatility | fast mean-reversion | Malliavin calculus | Regular density | SPDE | particle approximation | ornstein-uhlenbeck | weighted Sobolev space | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Portfolio-Management | Portfolio selection | Optionspreistheorie | Option pricing theory | Mean Reversion | Mean reversion | Wahrscheinlichkeitsrechnung | Probability theory | Schätztheorie | Estimation theory | Statistische Verteilung | Statistical distribution |
| Extent: | 1 Online-Ressource (circa 149 Seiten) |
|---|---|
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Hochschulschrift ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Thesis: | Dissertation, University of Oxford, 2018 |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012386950