Chiarella, Carl; Maina, Samuel Chege; … - Finance Discipline Group, Business School - 2011
unspanned stochastic volatility. Motivated by empirical evidence, hump-shaped level dependent stochastic volatility … correlation structure between the stochastic volatility, default-free interest rates and credit spreads. Default free and … the impact of the model parameters including correlations and stochastic volatility, on the credit swap rate and the value …