Bond markets with stochastic volatility
DOI10.1016/S0731-9053(08)22009-8zbMATH Open1189.91213OpenAlexW2497583680MaRDI QIDQ3572018FDOQ3572018
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
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Cited In (10)
- Pricing of defaultable securities associated with recovery rate under the stochastic interest rate driven by fractional Brownian motion
- Market implied volatilities for defaultable bonds
- A theory of stochastic integration for bond markets
- On the singular limit of solutions to the Cox-Ingersoll-Ross interest rate model with stochastic volatility
- The Bond Market'sq*
- Multiscale analysis on the pricing of intensity-based defaultable bonds
- Corporate bond pricing model with stochastically volatile firm value process
- PRICING DERIVATIVES ON MULTISCALE DIFFUSIONS: AN EIGENFUNCTION EXPANSION APPROACH
- Financial markets with volatility uncertainty
- Stochastic Volatility Effects on Defaultable Bonds
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