Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
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Publication:3094895
DOI10.1017/CBO9781139020534zbMath1248.91003OpenAlexW1487597787MaRDI QIDQ3094895
Ronnie Sircar, Knut Sølna, Jean-Pierre Fouque, George S. Papanicolaou
Publication date: 27 October 2011
Full work available at URL: https://doi.org/10.1017/cbo9781139020534
perturbation theoryhedgingoption pricingasymptotic analysisVasicek modeldefaultable bondHeston modelshort rate modelderivative securitymultiscale stochastic volatility model
Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Asymptotic expansions of solutions to PDEs (35C20) Credit risk (91G40)
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