CREDIT DERIVATIVES PRICING WITH STOCHASTIC VOLATILITY MODELS (Q2842532): Difference between revisions

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+Bond Market Structure in the Presence of Marked Point Processes
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+Finite–dimensional Markovian realizations for stochastic volatility forward–rate models
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+A complete Markovian stochastic volatility model in the HJM framework
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+Classes of interest rate models under the HJM framework
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+Finite dimensional affine realisations of HJM models in terms of forward rates and yields
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+A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES
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@@ Property / cites work @@
+Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
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+An analytically tractable interest rate model with humped volatility
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+VALUATION OF CREDIT DEFAULT SWAPTIONS AND CREDIT DEFAULT INDEX SWAPTIONS
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@@ Property / full work available at URL @@
+https://doi.org/10.1142/s0219024913500192
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+W3122840348
@@ Property / OpenAlex ID: W3122840348 / rank @@
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