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dc.contributor.authorMusiela, Marek
dc.contributor.authorLions, Pierre-Louis
dc.date.accessioned2012-02-23T11:59:05Z
dc.date.available2012-02-23T11:59:05Z
dc.date.issued2007
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/8228
dc.language.isoenen
dc.subjectstochastic volatility modelsen
dc.subject.ddc332en
dc.titleCorrelations and bounds for stochastic volatility modelsen
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherCollège de France;France
dc.description.abstractenWe investigate here, systematically and rigorously, various stochasticvolatilitymodels used in Mathematical Finance. Mathematically, such models involve coupled stochastic differential equations with coefficients that do not obey the natural and classical conditions required to make these models “well-posed”. And we obtain necessary and sufficient conditions on the parameters, such as correlation, of these models in order to have integrable or Lp solutions (for 1<p<∞).en
dc.relation.isversionofjnlnameAnnales de l'Institut Henri Poincaré. Analyse non linéaire
dc.relation.isversionofjnlvol24en
dc.relation.isversionofjnlissue1en
dc.relation.isversionofjnldate2007
dc.relation.isversionofjnlpages1-16en
dc.relation.isversionofdoihttp://dx.doi.org/10.1016/j.anihpc.2005.05.007en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelEconomie financièreen


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