, 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 …

This paper attempts to explain the credit default swap (CDS) premium by using a novel approach to identify the … volatility and jump risks of individual firms from a unique dataset of high-frequency CDS spreads. I find that the volatility …. In the cross-section I find that volatility risk can explain 63% of the variation in the credit spreads whilst jump risk …

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 …

to model a credit quality process as an Ito 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 Levy …

volatility specifications and/or jumps.In the yield curve literature it is widely accepted that one-factor is not sufficient to …-factor stochastic volatility specification within the structural model of credit risk. One of the factors determines the correlation …-term returns and variance. The numerical tests reveal how the introduction of two volatility factors can generate a wide range of …

Tests for the existence and the sign of the volatility risk premium are often based on expected option hedging errors … the premium is the same as the sign of the mean hedging error for a large class of stochastic volatility option pricing …

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

common belief, the auction prices for gas storage are mostly affected by the volatility of current market prices rather than … with the volatility of the spot market. This is an intuitive result because storage capacity can serve as an effective …

We introduce a novel stochastic volatility model where the squared volatility of the asset return follows a Jacobi …