Bond markets with stochastic volatility

DOI10.1016/S0731-9053(08)22009-8zbMATHOpenAlexMaRDI QIDQ3572018FDO

Authors Rafael Desantiago, Jean-Pierre Fouque, Knut Sølna

Publication date 30 June 2010

Published in Econometrics and Risk Management (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0731-9053(08)22009-8

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cited in

(11)

• The Bond Market'sq^*
• Multiscale analysis on the pricing of intensity-based defaultable bonds
• On the singular limit of solutions to the Cox-Ingersoll-Ross interest rate model with stochastic volatility
• Market implied volatilities for defaultable bonds
• Corporate bond pricing model with stochastically volatile firm value process
• Unspanned stochastic volatility in the multifactor CIR model
• A theory of stochastic integration for bond markets
• Pricing derivatives on multiscale diffusions: an eigenfunction expansion approach
• Financial markets with volatility uncertainty
• Pricing of defaultable securities associated with recovery rate under the stochastic interest rate driven by fractional Brownian motion
• Stochastic Volatility Effects on Defaultable Bonds

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