A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES
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Publication:3444869
DOI10.1142/S0219024907004147zbMath1291.91220OpenAlexW3122072061MaRDI QIDQ3444869
Erik Schlögl, Carl Chiarella, Christina Nikitopoulos Sklibosios
Publication date: 5 June 2007
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024907004147
Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Credit risk (91G40)
Related Items (3)
Alternative defaultable term structure models ⋮ CREDIT DERIVATIVES PRICING WITH STOCHASTIC VOLATILITY MODELS ⋮ Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion
Cites Work
- A class of jump-diffusion bond pricing models within the HJM framework
- On the construction of finite dimensional realizations for nonlinear forward rate models
- Classes of interest rate models under the HJM framework
- Finite dimensional affine realisations of HJM models in terms of forward rates and yields
- The surprise element: Jumps in interest rates.
- On the Existence of Finite‐Dimensional Realizations for Nonlinear Forward Rate Models
- A Theory of the Term Structure of Interest Rates
- VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- Interest Rate Option Pricing With Poisson‐Gaussian Forward Rate Curve Processes
- WHEN IS THE SHORT RATE MARKOVIAN?
- Bond Market Structure in the Presence of Marked Point Processes
- An equilibrium characterization of the term structure
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