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Type: BOOK - Published: 2019 - Publisher:
In this paper, we establish sample path large and moderate deviation principles for log-price processes in Gaussian stochastic volatility models, and study the
Language: en
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Type: BOOK - Published: 2017 - Publisher:
Language: en
Pages: 503
Pages: 503
Type: BOOK - Published: 2014-11-25 - Publisher: Springer
Stochastic instantaneous volatility models such as Heston, SABR or SV-LMM have mostly been developed to control the shape and joint dynamics of the implied vola