Viscosity methods for multiscale financial models with stochastic volatility
Résumé
Introduction on models Financial models and stochastic volatility, Gaussian or with jumps Fast stochastic volatility Part 1 Control systems with random parameters and multiple scales The Hamilton-Jacobi-Bellman approach to Singular Perturbations I Tools I Assumptions I A convergence result Applications to finance Part 2 Large deviations for small time to maturity: see also Daria Ghilli's poster tomorrow
Domaines
Optimisation et contrôle [math.OC]
Origine : Fichiers produits par l'(les) auteur(s)