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....
| Hoofdauteurs: | , |
|---|---|
| Formaat: | Journal article |
| Gepubliceerd in: |
Society for Industrial and Applied Mathematics
2017
|