Multiscale stochastic volatility for equity, interest rate, and credit derivatives

Keyphrases

• Stochastic Volatility 100%
• Multifractal Volatility 100%
• Inequity 100%
• Interest Rate Derivatives 100%
• Credit Derivatives 100%
• Implied Volatility 50%
• Asymptotic Approximation 50%
• Portfolio Optimization 50%
• Financial Markets 50%
• Path Dependence 50%
• Heston Model 50%
• Hedging 50%
• Equity Markets 50%
• Multiscale Stochastic Volatility Model 50%
• Variance Reduction 50%
• Credit Market 50%
• Model Approximation 50%
• Applied Mathematics 50%
• CAPM beta 50%
• Calibration Device 50%
• Financial Mathematics 50%
• Interest Rate Market 50%
• Financial Derivatives 50%
• Author Studies 50%

Mathematics

• Stochastic Volatility 100%
• Implied Volatility 33%
• Stochastic Volatility Model 33%
• Asymptotic Approximation 33%
• Variance Reduction Technique 33%
• Multiscale Analysis 33%
• Equity Market 33%
• Applied Mathematics 33%
• Financial Mathematics 33%
• Heston Model 33%

Economics, Econometrics and Finance

• CAPM 20%