Fast mean-reversion asymptotics for large portfolios of stochastic volatility models
We consider an SPDE description of a large portfolio limit model where the underlying asset prices evolve according to certain stochastic volatility models with default upon hitting a lower barrier. The asset prices and their volatilities are correlated via systemic Brownian motions, and the resulti...
| Main Authors: | , |
|---|---|
| Format: | Journal article |
| Language: | English |
| Published: |
Springer Verlag
2020
|