Stochastic Volatility Effects on Defaultable Bonds
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Publication:3424326
DOI10.1080/13504860600563127zbMATH Open1142.91523OpenAlexW2120367138MaRDI QIDQ3424326FDOQ3424326
Authors: Jean-Pierre Fouque, Ronnie Sircar, Knut Sølna 
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
- Singular Perturbations in Option Pricing
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- Multiscale Stochastic Volatility Asymptotics
- Term Structures of Credit Spreads with Incomplete Accounting Information
- The Mathematics of Financial Derivatives
- Optimal capital structure and endogenous default
- Stochastic Volatility Corrections for Interest Rate Derivatives
- Singular Perturbations for Boundary Value Problems Arising from Exotic Options
Cited In (30)
- Randomized structural models of credit spreads
- A Numerical Method to Price Defaultable Bonds Based on the Madan and Unal Credit Risk Model
- Strategic investment decisions under fast mean-reversion stochastic volatility
- Pricing vulnerable options under a stochastic volatility model
- Pricing derivatives on multiscale diffusions: an eigenfunction expansion approach
- SHOULD AN AMERICAN OPTION BE EXERCISED EARLIER OR LATER IF VOLATILITY IS NOT ASSUMED TO BE A CONSTANT?
- Pricing of defaultable securities associated with recovery rate under the stochastic interest rate driven by fractional Brownian motion
- Market implied volatilities for defaultable bonds
- Pricing two-asset barrier options under stochastic correlation via perturbation
- An asymptotic expansion approach to the valuation of vulnerable options under a multiscale stochastic volatility model
- Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility
- Quality control for structural credit risk models
- Default risk in interest rate derivatives with stochastic volatility
- Asymptotic analysis for stochastic volatility: martingale expansion
- Expectations of functions of stochastic time with application to credit risk modeling
- INCORPORATING RISK AND AMBIGUITY AVERSION INTO A HYBRID MODEL OF DEFAULT
- Multiscale analysis on the pricing of intensity-based defaultable bonds
- Defaultable bonds with an infinite number of Lévy factors
- Turbo warrants under stochastic volatility
- VALUE-AT-RISK COMPUTATIONS IN STOCHASTIC VOLATILITY MODELS USING SECOND-ORDER WEAK APPROXIMATION SCHEMES
- A martingale control variate method for option pricing with stochastic volatility
- A unified option pricing model with Markov regime-switching double stochastic volatility, stochastic interest rate and jumps
- Risk measures and behaviors for bonds under stochastic interest rate models
- Interaction particle systems for the computation of rare credit portfolio losses
- Multiscale Intensity Models for Single Name Credit Derivatives
- Valuation of credit derivatives with multiple time scales in the intensity model
- Stochastic volatility model and technical analysis of stock price
- Stochastic correlation and volatility mean-reversion -- empirical motivation and derivatives pricing via perturbation theory
- Bond markets with stochastic volatility
- Stochastic volatility asymptotics of defaultable interest rate derivatives under a quadratic Gaussian model
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