18 search results - page 1 / 4 » Modeling the Dynamics of Credit Spreads with Stochastic Vola... |
MANSCI
2008
13 years 4 months ago
2008
This paper investigates a two-factor affine model for the credit spreads on corporate bonds. The
CORR
2007
Springer
13 years 4 months ago
2007
Springer
We propose a model which can be jointly calibrated to the corporate bond term structure and equity option volatility surface of the same company. Our purpose is to obtain explicit...
ICML
2010
IEEE
13 years 5 months ago
2010
IEEE
Predicting the "Value at Risk" of a portfolio of stocks is of great significance in quantitative finance. We introduce a new class models, "dynamical products of ex...
SIAMFM
2011
12 years 7 months ago
2011
As shown by the recent turmoil in credit markets, much remains to be done for the proper risk management of credit derivatives. In particular, the static copula-based models commo...
WSC
2007
13 years 7 months ago
2007
We consider the problem of pricing American options when the volatility of the underlying asset price is stochastic. No specific stochastic volatility model is assumed for the st...