- Abstract:
-
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. We are interested in the loss process that arises in this setting and we prove the existence of a large portfolio limit for the empirical measure process of this system. This limit evolves as a me...
Expand abstract - Publication status:
- Published
- Peer review status:
- Peer reviewed
- Version:
- Accepted Manuscript
- Files:
-
-
(pdf, 478.9kb)
-
- Publisher copy:
- 10.1137/17M111715X
-
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- Funding agency for:
- Kolliopoulos, N
- Funding agency for:
- Kolliopoulos, N
- Publisher:
- Society for Industrial and Applied Mathematics Publisher's website
- Journal:
- SIAM Journal on Financial Mathematics Journal website
- Volume:
- 8
- Issue:
- 1
- Pages:
- 962–1014
- Publication date:
- 2017-12-19
- Acceptance date:
- 2017-09-18
- DOI:
- ISSN:
-
1945-497X
- Pubs id:
-
pubs:731242
- URN:
-
uri:cbbfb95e-7063-44a3-8733-cbf2fc16d07e
- UUID:
-
uuid:cbbfb95e-7063-44a3-8733-cbf2fc16d07e
- Local pid:
- pubs:731242
- Copyright holder:
- Society for Industrial and Applied Mathematics
- Copyright date:
- 2017
- Notes:
-
Copyright © 2017 Society for Industrial and Applied Mathematics. This is the accepted manuscript version of the article. The final version is available online from SIAM at: https://doi.org/10.1137/17M111715X
Journal article
Stochastic evolution equations for large portfolios of stochastic volatility models
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