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Applied Mathematical Finance Volume 13, 2006 - Issue 3
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Original Articles

Stochastic Volatility Effects on Defaultable Bonds

Jean‐Pierre Fouque Department of Statistics and Applied Probability, University of California at Irvine, CA, USACorrespondence[email protected]
,
Ronnie Sircar Department of Operations Research & Financial Engineering, Princeton University, NJ, USA
&
Knut S⊘lna Department of Mathematics, University of California at Irvine, CA, USA
Pages 215-244 | Received 14 Dec 2004, Published online: 02 Feb 2007

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Jianping Lyu, Yong Ma & Wei Sun. (2022) A unified option pricing model with Markov regime-switching double stochastic volatility, stochastic interest rate and jumps. Communications in Statistics - Theory and Methods 51:15, pages 5112-5123.
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Issouf Soumaré & Ernest Tafolong. (2017) Risk-based capital for credit insurers with business cycles and dynamic leverage. Quantitative Finance 17:4, pages 597-612.
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Marcos Escobar, Barbara Götz, Daniela Neykova & Rudi Zagst. (2014) Stochastic Correlation and Volatility Mean-reversion – Empirical Motivation and Derivatives Pricing via Perturbation Theory. Applied Mathematical Finance 21:6, pages 555-594.
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Bomi Kim & Jeong-Hoon Kim. (2011) Default risk in interest rate derivatives with stochastic volatility. Quantitative Finance 11:12, pages 1837-1845.
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Chuang Yi, Alexander Tchernitser & Tom Hurd. (2011) Randomized structural models of credit spreads. Quantitative Finance 11:9, pages 1301-1313.
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Luca Vincenzo Ballestra & Graziella Pacelli. (2009) A Numerical Method to Price Defaultable Bonds Based on the Madan and Unal Credit Risk Model. Applied Mathematical Finance 16:1, pages 17-36.
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Hoi Ying Wong & Chun Man Chan. (2008) Turbo warrants under stochastic volatility. Quantitative Finance 8:7, pages 739-751.
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Thorsten Schmidt & Alexander Novikov. (2008) A Structural Model with Unobserved Default Boundary . Applied Mathematical Finance 15:2, pages 183-203.
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E. Papageorgiou & R. Sircar. (2008) Multiscale Intensity Models for Single Name Credit Derivatives . Applied Mathematical Finance 15:1, pages 73-105.
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Wei Liu & Wei An Zheng. (2011) Stochastic volatility model and technical analysis of stock price. Acta Mathematica Sinica, English Series 27:7, pages 1283-1296.
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Masaaki Fukasawa. (2011) Asymptotic Analysis for Stochastic Volatility: Edgeworth Expansion. Electronic Journal of Probability 16:none.
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German Molina, Chuan-Hsiang Han & Jean-Pierre Fouque. 2010. Handbook of Quantitative Finance and Risk Management. Handbook of Quantitative Finance and Risk Management 1109 1120 .
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Jean-Pierre Fouque & Chuan-Hsiang Han. (2007) A martingale control variate method for option pricing with stochastic volatility. ESAIM: Probability and Statistics 11, pages 40-54.
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Ronnie Sircar & Thaleia Zariphopoulou. 2007. Advances in Mathematical Finance. Advances in Mathematical Finance 279 301 .
Hoi Ying Wong & Chun Man Chan. (2006) Turbo Warrants Under Stochastic Volatility. SSRN Electronic Journal.
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Evan Papageorgiou & Ronnie Sircar. (2006) Multiscale Intensity Models for Single Name Credit Derivatives. SSRN Electronic Journal.
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Robert F. Engle & Emil N. Siriwardane. (2015) Structural GARCH: The Volatility-Leverage Connection. SSRN Electronic Journal.
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Ovidiu Costin, Michael B. Gordy, Min Huang & Pawel Szerszen. (2013) Expectations of Functions of Stochastic Time with Application to Credit Risk Modeling. SSRN Electronic Journal.
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Babak Lotfaliei. (2014) Variance Risk Premia and Capital Structure. SSRN Electronic Journal.
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Michael B. Gordy & Søren Willemann. (2009) Constant Proportion Debt Obligations: A Post-Mortem Analysis of Rating Models. SSRN Electronic Journal.
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Matthew Lorig. (2011) Pricing Derivatives on Multiscale Diffusions: An Eigenfunction Expansion Approach. SSRN Electronic Journal.
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Du Du, Redouane Elkamhi & Jan Ericsson. (2018) Time-Varying Asset Volatility and the Credit Spread Puzzle. SSRN Electronic Journal.
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Zhongyan Zhu. (2008) Can the Performance of Structural Corporate Bond Models Be Improved?. SSRN Electronic Journal.
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