Open AccessTwo examples of non strictly convex large deviations
Author(s) -
Stefano De Marco,
Antoine Jacquier,
Patrick Roome
Publication year - 2016
Publication title -
electronic communications in probability
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.236
H-Index - 38
ISSN - 1083-589X
DOI - 10.1214/16-ecp4088
Subject(s) - rate function , mathematics , mathematical finance , heston model , large deviations theory , regular polygon , convex function , mathematical economics , convex analysis , function (biology) , mathematical and theoretical biology , pure mathematics , econometrics , convex optimization , statistics , stochastic volatility , economics , financial economics , geometry , sabr volatility model , volatility (finance) , evolutionary biology , biology , genetics
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