Credit derivatives pricing with stochastic volatility models
Year of publication: |
2013
|
---|---|
Authors: | Chiarella, Carl ; Chege Maina, Samuel ; Nikitopoulos, Christina Sklibosios |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 16.2013, 4, p. 1-28
|
Subject: | Stochastic volatility | Heath-Jarrow-Morton framework | defaultabe bond prices | credit spreads; CDS rates | Zinsstruktur | Yield curve | Kreditderivat | Credit derivative | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Kreditrisiko | Credit risk | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Risikoprämie | Risk premium | CAPM |
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