stochastic volatility, jumps in the underlying and the price process and a stochastic target level as well as with deterministic …

, 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 …

relatively newer field of study: derivative instruments. Previous results of excess volatility, recovered with a worldwide focus …1 Abstract -- 2 Introduction -- 3 Chapter I: Literature on the subject of excess volatility -- 4 Chapter II: Excess … volatility beyond discount rates -- 5 Chapter III: Evidence of excess volatility in the Eurozone market -- 6 Conclusions. …