Rachana Gupta

affiliation not provided to SSRN

SCHOLARLY PAPERS

1

DOWNLOADS

6

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (1)

1.

Asymptotic Impulse Control of Mean-Reverting Interest Rates with a Slowly Varying Stochastic Volatility

Number of pages: 25 Posted: 18 Feb 2021
Chi Seng Pun and Rachana Gupta
Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences and affiliation not provided to SSRN
Downloads 6 (726,958)

Abstract:

Loading...

Impulse control, Central bank intervention, Interest rate, Stochastic volatility asymptotics, Accuracy of approximations, Asymptotic optimality