Pages that link to "Item:Q3424326"
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The following pages link to Stochastic Volatility Effects on Defaultable Bonds (Q3424326):
Displaying 25 items.
- Quality control for structural credit risk models (Q299230) (← links)
- Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility (Q433133) (← links)
- Stochastic volatility model and technical analysis of stock price (Q475736) (← links)
- Asymptotic analysis for stochastic volatility: martingale expansion (Q484204) (← links)
- Interaction particle systems for the computation of rare credit portfolio losses (Q964695) (← links)
- Pricing of defaultable securities associated with recovery rate under the stochastic interest rate driven by fractional Brownian motion (Q1738521) (← links)
- An asymptotic expansion approach to the valuation of vulnerable options under a multiscale stochastic volatility model (Q2131629) (← links)
- Valuation of credit derivatives with multiple time scales in the intensity model (Q2336889) (← links)
- Pricing vulnerable options under a stochastic volatility model (Q2349261) (← links)
- EXPECTATIONS OF FUNCTIONS OF STOCHASTIC TIME WITH APPLICATION TO CREDIT RISK MODELING (Q2831002) (← 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)
- Stochastic volatility asymptotics of defaultable interest rate derivatives under a quadratic Gaussian model (Q2951895) (← 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)
- <i>Stochastic Correlation and Volatility Mean-reversion</i>– Empirical Motivation and Derivatives Pricing via Perturbation Theory (Q4586319) (← links)
- INCORPORATING RISK AND AMBIGUITY AVERSION INTO A HYBRID MODEL OF DEFAULT (Q4906540) (← links)
- A unified option pricing model with Markov regime-switching double stochastic volatility, stochastic interest rate and jumps (Q5093699) (← links)
- PRICING TWO-ASSET BARRIER OPTIONS UNDER STOCHASTIC CORRELATION VIA PERTURBATION (Q5256837) (← 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)
