Sciweavers

Free Online Productivity Tools i2Speak i2Symbol i2OCR iTex2Img iWeb2Print iWeb2Shot i2Type iPdf2Split iPdf2Merge i2Bopomofo i2Arabic i2Style i2Image i2PDF iLatex2Rtf Sci2ools

2

MANSCI
2008

favoriteEmaildiscussreport

69views more MANSCI 2008»

Modeling the Dynamics of Credit Spreads with Stochastic Volatility

13 years 4 months ago

Modeling the Dynamics of Credit Spreads with Stochastic Volatility

Download neumann.hec.ca

This paper investigates a two-factor affine model for the credit spreads on corporate bonds. The

Kris Jacobs, Xiaofei Li

Real-time Traffic

Corporate Bond | MANSCI 2008 | Model | Two-factor Affine Model |

claim paper

Related Content

» A Unified Framework for Pricing Credit and Equity Derivatives

» Dynamical Products of Experts for Modeling Financial Time Series

» Dynamic Hedging of Portfolio Credit Derivatives

» American option pricing under stochastic volatility a simulationbased approach

» An Empirical Model for Volatility of Returns and Option Pricing

» An InverseQuantile Function Approach for Modeling Electricity Price

» Bank management via stochastic optimal control

» Theory of Rumour Spreading in Complex Social Networks

» The Genetic Algorithm as a General Diffusion Model for Social Networks

Post Info
More Details (n/a)

Added	13 Dec 2010
Updated	13 Dec 2010
Type	Journal
Year	2008
Where	MANSCI
Authors	Kris Jacobs, Xiaofei Li

Comments (0)