Fast mean-reversion asymptotics for large portfolios of stochastic volatility models
Year of publication: |
2020
|
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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
|
Subject: | Large portfolio | Stochastic volatility | Distance to default | Systemic risk | Mean-field | SPDE | Fast mean-reversion | Large time-scale | Theorie | Theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Zeitreihenanalyse | Time series analysis |
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