Default risk in interest rate derivatives with stochastic volatility

DOI10.1080/14697688.2010.543426MaRDI QIDQ2866401zbMATHOpenAlexFDO

Authors Bomi Kim, Jeong-Hoon 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)

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• Stochastic volatility for interest rate derivatives
• Stochastic Volatility Effects on Defaultable Bonds
• Stochastic volatility asymptotics of defaultable interest rate derivatives under a quadratic Gaussian model
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• Counterparty risk pricing under correlation between default and interest rates
• Dynamic derivative strategies with stochastic interest rates and model uncertainty

Cites work

• scientific article; zbMATH DE number 1517499 (Why is no real title available?)
• An equilibrium characterization of the term structure
• Stochastic Volatility Corrections for Interest Rate Derivatives
• Stochastic Volatility Effects on Defaultable Bonds
• Stochastic calculus for finance. II: Continuous-time models.

Cited in

(8)

• Stochastic Volatility Corrections for Interest Rate Derivatives
• 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
• Pricing of Defaultable Securities under Stochastic Interest
• Stochastic volatility asymptotics of defaultable interest rate derivatives under a quadratic Gaussian model
• Implied fractional hazard rates and default risk distributions
• Stochastic Volatility Effects on Defaultable Bonds

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