Analysis of stochastic PDEs arising from large portfolios of stochastic volatility models
<p>The aim of this thesis is to study a large market model of defaultable assets in which the asset price processes are modelled as stochastic volatility models with volatility mean-reversion and default upon hitting a lower boundary. We assume that both the asset prices and their volatilities...
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| Formato: | Tese |
| Idioma: | English |
| Publicado em: |
2018
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