scholarly journals Small-time moderate deviations for the randomised Heston model

2020 ◽  
Vol 57 (1) ◽  
pp. 19-28
Author(s):  
Antoine Jacquier ◽  
Fangwei Shi
Keyword(s):  
Large Deviations ◽  
Small Time ◽  
Moderate Deviations ◽  
Heston Model ◽  
Sharp Large Deviations

AbstractWe extend previous large deviations results for the randomised Heston model to the case of moderate deviations. The proofs involve the Gärtner–Ellis theorem and sharp large deviations tools.

scholarly journals Large deviations, moderate deviations, and the KLS conjecture

2021 ◽  
Vol 280 (1) ◽  
pp. 108779
Author(s):  
David Alonso-Gutiérrez ◽  
Joscha Prochno ◽  
Christoph Thäle
Keyword(s):  
Large Deviations ◽  
Moderate Deviations

Small‐time, large‐time, and asymptotics for the Rough Heston model

2020 ◽  
Author(s):  
Martin Forde ◽  
Stefan Gerhold ◽  
Benjamin Smith
Keyword(s):  
Large Time ◽  
Small Time ◽  
Heston Model

scholarly journals Sharp large deviations for the fractional Ornstein - Uhlenbeck process

2010 ◽  
Vol 55 (4) ◽  
pp. 732-771 ◽  
Author(s):  
Bernard Bercu ◽  
Bernard Bercu ◽  
Laure Coutin ◽  
Laure Coutin ◽  
Nicolas Savy ◽  
...  
Keyword(s):  
Large Deviations ◽  
Uhlenbeck Process ◽  
Ornstein Uhlenbeck Process ◽  
Sharp Large Deviations

scholarly journals On sharp large deviations for sums of random vectors and multidimensional Laplace approximation

2004 ◽  
Vol 49 (4) ◽  
pp. 743-774
Author(s):  
Philippe Barbe ◽  
Philippe Barbe ◽  
Michel Broniatowski ◽  
Michel Broniatowski
Keyword(s):  
Large Deviations ◽  
Laplace Approximation ◽  
Random Vectors ◽  
Sharp Large Deviations
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