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

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

Jean-Pierre Fouque

Details

OL Work ID
OL16555736W

Subjects

Econometric modelsDerivative securitiesPerturbation (mathematics)

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