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

Hambly, B; Kolliopoulos, N

Kolliopoulos, N (corresponding author), Univ Oxford, Math Inst, Radcliffe Observ Quarter, Andrew Wiles Bldg,Woodstock Rd, Oxford OX2 6GG, England.; Kolliopoulos, N (corresponding author), Beijing Univ, Beijing Int Ctr Math Res, Beijing, Peoples R China.

FINANCE AND STOCHASTICS, 2020; 24 (3): 757

Abstract

We consider an asymptotic SPDE description of a large portfolio model where the underlying asset prices evolve according to certain stochastic volatil......

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