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
Type de document :
Document associé à des manifestations scientifiques
https://hal.inria.fr/hal-01024138
Contributeur : Estelle Bouzat
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Soumis le : mardi 15 juillet 2014 - 16:25:34
Dernière modification le : jeudi 14 juin 2018 - 10:54:02
Document(s) archivé(s) le : lundi 24 novembre 2014 - 12:11:10
