Stochastic Volatility Effects on Defaultable Bonds
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Publication:3424326
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
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Cites Work
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- 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
