Pages that link to "Item:Q453246"
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The following pages link to Small-time asymptotics for fast mean-reverting stochastic volatility models (Q453246):
Displaying 41 items.
- Large deviations for some fast stochastic volatility models by viscosity methods (Q255794) (← links)
- Maximum likelihood estimation for small noise multiscale diffusions (Q376710) (← links)
- Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps (Q424503) (← links)
- Large deviations for multi-scale jump-diffusion processes (Q516019) (← links)
- Large-time asymptotics for an uncorrelated stochastic volatility model (Q553048) (← links)
- The asymptotic smile of a multiscaling stochastic volatility model (Q681999) (← links)
- Statistical inference for perturbed multiscale dynamical systems (Q730344) (← links)
- Small-time asymptotics for Gaussian self-similar stochastic volatility models (Q781554) (← links)
- Fast mean-reversion asymptotics for large portfolios of stochastic volatility models (Q784739) (← links)
- Financial modeling in a fast mean-reverting stochastic volatility environment (Q1012317) (← links)
- Large time and small noise asymptotic results for mean reverting diffusion processes with applications (Q1584690) (← links)
- Option pricing under fast-varying and rough stochastic volatility (Q1630429) (← links)
- Small-noise limit of the quasi-Gaussian log-normal HJM model (Q1727938) (← links)
- Large deviations and importance sampling for systems of slow-fast motion (Q1946537) (← links)
- Averaging principle and normal deviations for multiscale stochastic systems (Q2021633) (← links)
- Comparison principle for Hamilton-Jacobi-Bellman equations via a bootstrapping procedure (Q2024989) (← links)
- Small time asymptotics for SPDEs with locally monotone coefficients (Q2026586) (← links)
- A general convergence result for viscosity solutions of Hamilton-Jacobi equations and non-linear semigroups (Q2067054) (← links)
- Large deviations for interacting multiscale particle systems (Q2105066) (← links)
- Large deviations for a slow-fast system with jump-diffusion processes (Q2172928) (← links)
- Path-space moderate deviations for a Curie-Weiss model of self-organized criticality (Q2179610) (← links)
- Large deviations of Markov chains with multiple time-scales (Q2274301) (← links)
- Convergence in multiscale financial models with non-Gaussian stochastic volatility (Q2808055) (← links)
- Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model (Q2889603) (← links)
- Short Maturity Asian Options in Local Volatility Models (Q2953946) (← links)
- Small-Time Asymptotics of Option Prices and First Absolute Moments (Q3108470) (← links)
- Viscosity methods for large deviations estimates of multiscale stochastic processes (Q4554107) (← links)
- Option pricing in the moderate deviations regime (Q4581294) (← links)
- Discrete-Time Statistical Inference for Multiscale Diffusions (Q4627436) (← links)
- SMALL-TIME ASYMPTOTICS IN GEOMETRIC ASIAN OPTIONS FOR A STOCHASTIC VOLATILITY JUMP-DIFFUSION MODEL (Q4631699) (← links)
- SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL (Q5056615) (← links)
- Small-Time smile for the multifactor volatility heston model (Q5139918) (← links)
- Discrete-Time Inference for Slow-Fast Systems Driven by Fractional Brownian Motion (Q5157689) (← links)
- Large deviation for two-time-scale stochastic burgers equation (Q5157730) (← links)
- HIGH‐ORDER SHORT‐TIME EXPANSIONS FOR ATM OPTION PRICES OF EXPONENTIAL LÉVY MODELS (Q5739188) (← links)
- Small noise asymptotics of multi-scale McKean-Vlasov stochastic dynamical systems (Q6041820) (← links)
- MARKOVIAN STOCHASTIC VOLATILITY WITH STOCHASTIC CORRELATION — JOINT CALIBRATION AND CONSISTENCY OF SPX/VIX SHORT-MATURITY SMILES (Q6095476) (← links)
- Averaging principle for two time-scale regime-switching processes (Q6126951) (← links)
- Singular perturbations in stochastic optimal control with unbounded data (Q6138481) (← links)
- Asymptotic behavior of multiscale stochastic partial differential equations with Hölder coefficients (Q6175752) (← links)
- Moderate deviations for fully coupled multiscale weakly interacting particle systems (Q6571446) (← links)
