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Viscosity methods for multiscale financial models with stochastic volatility

Abstract : 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
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https://hal.inria.fr/hal-01024138
Contributor : Estelle Bouzat <>
Submitted on : Tuesday, July 15, 2014 - 4:25:34 PM
Last modification on : Thursday, June 14, 2018 - 10:54:02 AM
Long-term archiving on: : Monday, November 24, 2014 - 12:11:10 PM

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Martino Bardi, Annalisa Cesaroni, Daria Ghilli, Andrea Scotti. Viscosity methods for multiscale financial models with stochastic volatility. NETCO 2014, 2014, Tours, France. ⟨hal-01024138⟩

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