Stochastic Evolution Equations for Large Portfolios of Stochastic Volatility Models (vol 8, pg 962, 2017)

被引：3

作者：

Hambly, Ben ^{[1
]}

Kolliopoulos, Nikolaos ^{[1
]}

机构：

[1] Univ Oxford, Math Inst, Woodstock Rd, Oxford OX2 6GG, England

来源：

SIAM JOURNAL ON FINANCIAL MATHEMATICS | 2019年 / 10卷 / 03期

基金：

英国工程与自然科学研究理事会;

关键词：

SPDE; large portfolio; distance to default; Malliavin calculus; stochastic volatility; CIR volatility; SPDES;

D O I：

10.1137/19M1260980

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In the article "Stochastic evolution equations for large portfolios of stochastic volatility models" [Hambly and Kolliopoulos, SIAM J. Financial Math., 8 (2017), pp. 962-1014] there is a mistake in the proof of Theorem 3.1. In this erratum we establish a weaker version of this theorem and then we redevelop the regularity theory for our problem accordingly. This means that most of our regularity results are replaced by slightly weaker ones. We also clarify a point in the proof of a correct result.

引用

页码：857 / 876

页数：20

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