Credit derivatives pricing with stochastic volatility models
Carl Chiarella, Samuel Chege Maina and Christina Nikitopoulos Sklibosios
| Year of publication: |
2013
|
|---|---|
| Authors: | Chiarella, Carl ; Chege Maina, Samuel ; Nikitopoulos, Christina Sklibosios |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 16.2013, 4, p. 1-28
|
| Subject: | Stochastic volatility | Heath-Jarrow-Morton framework | defaultabe bond prices | credit spreads; CDS rates | Zinsstruktur | Yield curve | Kreditderivat | Credit derivative | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Kreditrisiko | Credit risk | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Anleihe | Bond | Risikoprämie | Risk premium | CAPM |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009779780