Journal article
Stochastic evolution equations for large portfolios of stochastic volatility models
- Abstract:
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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...
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- Publication status:
- Published
- Peer review status:
- Peer reviewed
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- Files:
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(Accepted manuscript, pdf, 478.9KB)
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- Publisher copy:
- 10.1137/17M111715X
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Authors
Funding
+ Engineering
and Physical Sciences Research Council
More from this funder
Funding agency for:
Kolliopoulos, N
Grant:
EP/L015811/1
+ Foundation for
Education and European Culture in Greece
More from this funder
Funding agency for:
Kolliopoulos, N
Grant:
EP/L015811/1
Bibliographic Details
- 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:
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1945-497X
- Source identifiers:
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731242
Item Description
- Keywords:
- Pubs id:
-
pubs:731242
- UUID:
-
uuid:cbbfb95e-7063-44a3-8733-cbf2fc16d07e
- Local pid:
- pubs:731242
- Deposit date:
- 2017-09-29
Terms of use
- 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
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