scientific article; zbMATH DE number 5056213

zbMATH Open1184.91205MaRDI QIDQ5488673FDOQ5488673

Ken-ichi Mitsui, Yoshio Tabata

Publication date: 22 September 2006

Title of this publication is not available (Why is that?)

zbMATH Keywords

smiledefault riskhazard rateimplied volatilityskewjump risk

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Financial applications of other theories (91G80)

Cited In (1)

• Stochastic volatility asymptotics of defaultable interest rate derivatives under a quadratic Gaussian model

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5488673)