Pricing credit default swaps under a multi-scale stochastic volatility model (Q1620315): Difference between revisions

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+W2548433327
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+The Pricing of Options and Corporate Liabilities
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+Q4218398
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+COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION
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+The pricing of credit default swaps under a generalized mixed fractional Brownian motion
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+Multiscale Stochastic Volatility Asymptotics
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+Q4509488
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+Pricing perpetual American puts under multi-scale stochastic volatility
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+Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility
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+Stochastic calculus for finance. II: Continuous-time models.
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+A Simple Proof of the Fredholm Alternative and a Characterization of the Fredholm Operators
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