This paper presents a class of defaultable term structure models within the HJM framework with stochastic volatility …. Under certain volatility specifications, the model admits finite dimensional Markovian structures and consequently provides … tractable solutions for interest rate derivatives. We also investigate the effect of stochastic volatility and of correlation …

This paper proposes an auxiliary particle filter algorithm for inference in regime switching stochastic volatility …

Financial markets are typically characterized by high (low) price level and low (high) volatility during boom (bust …) periods, suggesting that price and volatility tend to move together with different market conditions/states. By proposing a …