Pages that link to "Item:Q3424326"
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The following pages link to Stochastic Volatility Effects on Defaultable Bonds (Q3424326):
Displayed 13 items.
- Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility (Q433133) (← links)
- Interaction particle systems for the computation of rare credit portfolio losses (Q964695) (← links)
- Strategic investment decisions under fast mean-reversion stochastic volatility (Q2862421) (← links)
- Randomized structural models of credit spreads (Q2866361) (← links)
- Default risk in interest rate derivatives with stochastic volatility (Q2866401) (← links)
- SHOULD AN AMERICAN OPTION BE EXERCISED EARLIER OR LATER IF VOLATILITY IS NOT ASSUMED TO BE A CONSTANT? (Q3225029) (← links)
- A Numerical Method to Price Defaultable Bonds Based on the Madan and Unal Credit Risk Model (Q3395728) (← links)
- Multiscale Intensity Models for Single Name Credit Derivatives (Q3502204) (← links)
- Turbo warrants under stochastic volatility (Q3605234) (← links)
- INCORPORATING RISK AND AMBIGUITY AVERSION INTO A HYBRID MODEL OF DEFAULT (Q4906540) (← links)
- VALUE-AT-RISK COMPUTATIONS IN STOCHASTIC VOLATILITY MODELS USING SECOND-ORDER WEAK APPROXIMATION SCHEMES (Q5411988) (← links)
- PRICING DERIVATIVES ON MULTISCALE DIFFUSIONS: AN EIGENFUNCTION EXPANSION APPROACH (Q5416705) (← links)
- A martingale control variate method for option pricing with stochastic volatility (Q5429590) (← links)