Stochastic Volatility Effects on Defaultable Bonds

DOI10.1080/13504860600563127zbMath1142.91523OpenAlexW2120367138MaRDI QIDQ3424326

Knut Sølna, Ronnie Sircar, Jean-Pierre Fouque

Publication date: 15 February 2007

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860600563127

zbMATH Keywords

stochastic volatilitytime scalescalibrationyield spreadsfirst-passage structural approach

Mathematics Subject Classification ID

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Cites Work

• Unnamed Item
• Optimal capital structure and endogenous default
• Singular Perturbations in Option Pricing
• Term Structures of Credit Spreads with Incomplete Accounting Information
• Multiscale Stochastic Volatility Asymptotics
• Stochastic Volatility Corrections for Interest Rate Derivatives
• Singular Perturbations for Boundary Value Problems Arising from Exotic Options
• The Mathematics of Financial Derivatives

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