Stochastic volatility asymptotics of defaultable interest rate derivatives under a quadratic Gaussian model (Q2951895): Difference between revisions

@@ Property / cites work @@
+Multiscale analysis on the pricing of intensity-based defaultable bonds
+Normal rank
@@ Property / cites work @@
+Option pricing under hybrid stochastic and local volatility
+Normal rank
@@ Property / cites work @@
+Stochastic Volatility Corrections for Interest Rate Derivatives
+Normal rank
@@ Property / cites work @@
+A Theory of the Term Structure of Interest Rates
@@ Property / cites work: A Theory of the Term Structure of Interest Rates / rank @@
+Normal rank
@@ Property / cites work @@
+Singular Perturbations in Option Pricing
@@ Property / cites work: Singular Perturbations in Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
+Normal rank
@@ Property / cites work @@
+Stochastic Volatility Effects on Defaultable Bonds
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Q4039796
@@ Property / cites work: Q4039796 / rank @@
+Normal rank
@@ Property / cites work @@
+Default risk in interest rate derivatives with stochastic volatility
+Normal rank
@@ Property / cites work @@
+Term structure models and the zero bound: an empirical investigation of Japanese yields
+Normal rank
@@ Property / cites work @@
+On Cox processes and credit risky securities
@@ Property / cites work: On Cox processes and credit risky securities / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing the risks of default
@@ Property / cites work: Pricing the risks of default / rank @@
+Normal rank
@@ Property / cites work @@
+Q5488673
@@ Property / cites work: Q5488673 / rank @@
+Normal rank
@@ Property / cites work @@
+An equilibrium characterization of the term structure
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1142/s0219493717500034
+Normal rank
@@ Property / OpenAlex ID @@
+W2314503089
@@ Property / OpenAlex ID: W2314503089 / rank @@
+Normal rank