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Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models Jean-Pierre Fouque, Sebastian Jaimungal, Matthew Lorig June 20, 2010 What is Spectral Theory?
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Document Date: 2010-06-21 15:19:58
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City
Santa Barbara /
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Facility
University of Minnesota /
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IndustryTerm
continuous-time finance /
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University of Minnesota /
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Person
Matthew Lorig June /
Barry Goldwater /
V. Matthew J Lorig /
Vadim Linetsky /
Ai /
Alan Lewis /
Sebastian Jaimungal /
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ProvinceOrState
Minnesota /
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SocialTag
Matrix theory
Singular value decomposition
Spectral theory
Operator theory
Eigenvalues and eigenvectors
Eigenfunction
Heat equation
Spectral theorem
Spectrum
Algebra
Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models Jean-Pierre Fouque, Sebastian Jaimungal, Matthew Lorig June 20, 2010 What is Spectral Theory?