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Fast mean-reversion asymptotics for large portfolios of stochastic volatility models
Hambly, Ben
;
Kolliopoulos, Nikolaos
- In:
Finance and stochastics
24
(
2020
)
3
,
pp. 757-794
Persistent link: https://www.econbiz.de/10012518096
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An SPDE model for systemic risk with endogenous contagion
Hambly, Ben
;
Søjmark, Andreas
- In:
Finance and stochastics
23
(
2019
)
3
,
pp. 535-594
Persistent link: https://www.econbiz.de/10012023755
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