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Thesis

Analysis of stochastic PDEs arising from large portfolios of stochastic volatility models

Abstract:

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 are correlated through systemic Brownian motions. In the first part of the thesis, we are interested in the loss process that arises in this setting and we prove the existence of a large portfolio limit...

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Department:
Applied Mathematics researcher

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Role:
Supervisor
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Grant:
EP/L015811/1
Funding agency for:
Nikolaos Kolliopoulos
Type of award:
DPhil
Level of award:
Doctoral
Awarding institution:
University of Oxford

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