Stochastic PDEs for large portfolios with general mean-reverting volatility processes

Stochastic PDEs for large portfolios with general mean-reverting volatility processes

We consider a structural stochastic volatility model for the loss from a large portfolio of credit risky assets. Both the asset value and the volatility processes are correlated through systemic Brownian motions, with default determined by the asset value reaching a lower boundary. We prove that if...

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Номзүйн дэлгэрэнгүй
Үндсэн зохиолчид:	Hambly, B, Kolliopoulos, N
Формат:	Journal article
Хэл сонгох:	English
Хэвлэсэн:	American Institute of Mathematical Sciences 2024

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