Default probability is a fundamental variable determining the credit worthiness of a firm and equity volatility … choosing different non parametric equity volatility estimators on default probability evaluation, when market microstructure … noise is considered. A general stochastic volatility framework with jumps for the underlying asset dynamics is defined …

We consider a stochastic volatility model of the mean-reverting type to describe the evolution of a firm's values … default probability. Our simulation results indicate that the stochastic volatility model tends to predict higher default … probabilities than the corresponding Merton model if a firm's credit quality is not too low. Otherwise the stochastic volatility …

financial markets, and volatility of exchange rates in the international context. This book can be used as a reference for …