Stochastic evolution equations for large portfolios of stochastic volatility models
We consider a large market model of defaultable assets in which the asset price processes are modelled as Heston-type stochastic volatility models with default upon hitting a lower boundary. We assume that both the asset prices and their volatilities are correlated through systemic Brownian motions....
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| Format: | Journal article |
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Society for Industrial and Applied Mathematics
2017
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