-of-the-money and long-maturity options. When applied to Heston's stochastic volatility model, our method is shown to be extremely e …

to model a credit quality process as an Itô integral with respect to a Brownian motion with a stochastic volatility …

stochastic volatility model we estimate these processes by using the generalized method of moments (GMM). We show that the GMM …

Purpose – This paper studies the performance of commonly employed stochastic volatility and jump models in the … models exhibiting stochastic volatility and/or jumps, it remains to be shown whether these are able to price both markets … returns and volatility added to a stochastic volatility model is essential. Moreover, we find that the SVJJ model with the …

Heston’s stochastic volatility (SV) model. Suppose that the insurer is allowed to purchase excess-of-loss reinsurance and …

jumps in asset value or stochastic volatility challenge the robustness of DD. We propose a volatility adjustment of the … distance-to-default measure that significantly improves the ranking of firms with stochastic volatility, but this measure is …

Purpose –This paper studies the performance of commonly employed stochastic volatility and jump models in the … models exhibiting stochastic volatility and/or jumps, it remains to be shown whether these are able to price both markets … returns and volatility added to a stochastic volatility model is essential. Moreover, we find that the SVJJ model with the …