Raemistrasse 101
Raemistr. 101
Zurich, 8092
Switzerland
ETH Zürich
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double Heston model, stochastic volatility, equity options, characteristic function, discretization scheme
Stochastic Volatility, Equity options, Multifactor model, Wishart model, Discretization scheme, Random Matrix, Heston model
Stochastic volatility, Wishart model, price approximation, stochastic correlation, probability change
stochastic volatility, wishart model, price approximation, stochastic correlation, probability change
Default Correlation, Dynamic Moral Hazard, Forward-Backward Stochastic Differential Equations
green bonds, moral hazard, incentives, regulation
super-replication, liquidity, viscosity solutions, asymptotic expansions
