With the practical experience of constru-ction bidding documentation,for example,in view of the large infrastructure project construction in colleges and universities bidding documents for the main body,the constructi...With the practical experience of constru-ction bidding documentation,for example,in view of the large infrastructure project construction in colleges and universities bidding documents for the main body,the construction technology,qualification,performance requirements,bill of quantities,the terms of the contract set aspects were discussed,and put forward practical measures and methods,for similar project construction bidding document preparation to provide certain reference.展开更多
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 through systemic Brownian motions,with d...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 through systemic Brownian motions,with default determined by the asset value reaching a lower boundary.We prove that if our volatility models are picked from a class of mean-reverting diffusions,the system converges as the portfolio becomes large and,when the vol-of-vol function satisfies certain regularity and boundedness conditions,the limit of the empirical measure process has a density given in terms of a solution to a stochastic initial-boundary value problem on a half-space.The problem is defined in a special weighted Sobolev space.Regularity results are established for solutions to this problem,and then we show that there exists a unique solution.In contrast to the CIR volatility setting covered by the existing literature,our results hold even when the systemic Brownian motions are taken to be correlated.展开更多
文摘With the practical experience of constru-ction bidding documentation,for example,in view of the large infrastructure project construction in colleges and universities bidding documents for the main body,the construction technology,qualification,performance requirements,bill of quantities,the terms of the contract set aspects were discussed,and put forward practical measures and methods,for similar project construction bidding document preparation to provide certain reference.
基金supported financially by the United Kingdom Engineering and Physical Sciences Research Council (Grant No.EP/L015811/1)by the Foundation for Education and European Culture (founded by Nicos&Lydia Tricha).
文摘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 through systemic Brownian motions,with default determined by the asset value reaching a lower boundary.We prove that if our volatility models are picked from a class of mean-reverting diffusions,the system converges as the portfolio becomes large and,when the vol-of-vol function satisfies certain regularity and boundedness conditions,the limit of the empirical measure process has a density given in terms of a solution to a stochastic initial-boundary value problem on a half-space.The problem is defined in a special weighted Sobolev space.Regularity results are established for solutions to this problem,and then we show that there exists a unique solution.In contrast to the CIR volatility setting covered by the existing literature,our results hold even when the systemic Brownian motions are taken to be correlated.
