Stochastic Evolution Equations for Large Portfolios of Stochastic Volatility Models (Q4607058)
From MaRDI portal
scientific article; zbMATH DE number 6849044
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic Evolution Equations for Large Portfolios of Stochastic Volatility Models |
scientific article; zbMATH DE number 6849044 |
Statements
Stochastic Evolution Equations for Large Portfolios of Stochastic Volatility Models (English)
0 references
12 March 2018
0 references
SPDE
0 references
large portfolio
0 references
distance to default
0 references
Malliavin calculus
0 references
stochastic volatility
0 references
Heston model
0 references
0 references
0 references
