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Masoliver, Jaume; Perelló, Josep - In: International journal of theoretical and applied finance 5 (2002) 5, pp. 541-562

Persistent link: https://www.econbiz.de/10001687146

Multiple time scales in volatility and leverage correlations : a stochastic volatility model

Perelló, Josep; Masoliver, Jaume; Bouchaud, Jean-Philippe - In: Applied mathematical finance 11 (2004) 1, pp. 27-50

Persistent link: https://www.econbiz.de/10002001537

Calculation of volatility in a jump-diffusion model

Navas, Javier F. - In: The journal of derivatives : the official publication … 11 (2003) 2, pp. 66-72

Persistent link: https://www.econbiz.de/10001861586

The Heston stochastic volatility model for single assets and for asset portfolios: parameter estimation and an application to the Italian financial market

Ballestra, Luca Vincenzo; Ferri, Roberto; Pacelli, Graziella - In: The international journal of business and finance … 1 (2007) 2, pp. 11-23

Persistent link: https://www.econbiz.de/10003955535

Default risk in stochastic volatility models

Gersbach, Hans; Surulescu, Nicolae Mircea - 2010 - This version: June 2010

We consider a stochastic volatility model of the mean-reverting type to describe the evolution of a firm’s values instead of the classical approach by Merton with geometric Brownian motions. We develop an analytical expression for the default probability. Our simulation results indicate that...