Multidimensional structural credit modeling under stochastic volatility
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Publication:361588
DOI10.1155/2013/851419zbMath1273.91449OpenAlexW2027048103WikidataQ58999926 ScholiaQ58999926MaRDI QIDQ361588
Marcos Escobar, Tim Friederich, Rudi Zagst, Luis A. Seco
Publication date: 29 August 2013
Published in: ISRN Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2013/851419
Cites Work
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- Two singular diffusion problems
- A Theory of the Term Structure of Interest Rates
- An intensity-based approach for equity modeling
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Stochastic volatility models as hidden Markov models and statistical applications
- Interest-rate management
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