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MANSCI
2008

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Modeling the Dynamics of Credit Spreads with Stochastic Volatility

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Modeling the Dynamics of Credit Spreads with Stochastic Volatility

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

Kris Jacobs, Xiaofei Li

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

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

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