Fast mean-reversion asymptotics for large portfolios of stochastic volatility models
Ben Hambly, Nikolaos Kolliopoulos
| Year of publication: |
2020
|
|---|---|
| Authors: | Hambly, Ben ; Kolliopoulos, Nikolaos |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 24.2020, 3, p. 757-794
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| Subject: | Large portfolio | Stochastic volatility | Distance to default | Systemic risk | Mean-field | SPDE | Fast mean-reversion | Large time-scale | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-020-00422-7 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012518096