16 citations · 29 across the 9 of their papers we have counts for
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math.PR2019★ 1 cited
Stochastic PDEs for large portfolios with general mean-reverting volatility processes
Ben Hambly, Nikolaos Kolliopoulos
We consider a structural stochastic volatility model for the loss from a large portfolio of credit risky assets. Both the asset value and the volatility processes are correlated th…
math.PR2019★ 4 cited
ERRATUM: Stochastic evolution equations for large portfolios of stochastic volatility models
Ben Hambly, Nikolaos Kolliopoulos
In the article "Stochastic evolution equations for large portfolios of Stochastic Volatility models" (Arxiv:1701.05640) there is a mistake in the proof of Theorem 3.1. In this erra…