, seasonalities, and stochastic volatility. In particular, we investigate the pricing procedures for electricity swaps and options in …

of the derivative, but also the probability of default of a counterparty. Another complication arises in the calculation …

regularities in equity, credit, and options markets. Our model captures the empirical level and volatility of credit spreads …

to model a credit quality process as an Itô integral with respect to a Brownian motion with a stochastic volatility … conditional default probabilities and credit spreads. An example for a volatility process is the square root of a Lévy …

, a credit quality process is driven by an Itô integral with respect to a Brownian motion with stochastic volatility … default probabilities and credit spreads. An example for a volatility process is the square root of a Lévy-driven Ornstein …-Uhlenbeck process. We show that jumps in the volatility translate into jumps in credit spreads. We examine the dynamics of the OS …

a Brownian motion with stochastic volatility. We derive formulas for conditional default probabilities and credit … spreads. An example for a volatility process is the square root of a Levy-driven Ornstein-Uhlenbeck process, for which we show … that jumps in the volatility translate into jumps in credit spreads. We examine the dynamics of the model and provide …