In an affine term structure framework with stochastic volatility, we derive the characteristic function of the log swap …

In an affine term structure framework we propose a discrete time stochastic volatility model. We derive the …

difficulties for the use of Fourier inversion methodologies in volatility surface calibration. Continuous time Markov chain …

A local volatility model is enhanced by the possibility of a single jump to default. The jump has a hazard rate that is … and equity option prices both the deterministic component of the hazard rate function and revised local volatility. The …