Default risk in interest rate derivatives with stochastic volatility

DOI10.1080/14697688.2010.543426zbMATH Open1277.91186OpenAlexW2089268602MaRDI QIDQ2866401FDOQ2866401

Jeong-Hoon Kim, Bomi Kim

Publication date: 13 December 2013

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2010.543426

zbMATH Keywords

term structurearbitrage pricingstochastic interest ratesvolatility modellingapplications to default risk

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• Title not available (Why is that?)
• An equilibrium characterization of the term structure
• Stochastic calculus for finance. II: Continuous-time models.
• Stochastic Volatility Effects on Defaultable Bonds
• Stochastic Volatility Corrections for Interest Rate Derivatives

Cited In (6)

• Stochastic Volatility Corrections for Interest Rate Derivatives
• Implied fractional hazard rates and default risk distributions
• Multiscale analysis on the pricing of intensity-based defaultable bonds
• Weak convergence of equity derivatives pricing with default risk
• Pricing variance swaps under stochastic volatility and stochastic interest rate
• Stochastic volatility asymptotics of defaultable interest rate derivatives under a quadratic Gaussian model

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