Advanced search
Publication Cover
Quantitative Finance Volume 16, 2016 - Issue 11
Submit an article Journal homepage
1,737
Views
4
CrossRef citations to date
0
Altmetric
Research Papers

Smile and default: the role of stochastic volatility and interest rates in counterparty credit risk

S. SimaitisComputational Science, University of Amsterdam, Science Park 904, 1098 XHAmsterdam, The Netherlands.
,
C. S. L. de GraafComputational Science, University of Amsterdam, Science Park 904, 1098 XHAmsterdam, The Netherlands.Correspondence[email protected]
,
N. HariQuantitative Analytics, ING Bank, Foppingadreef 7, 1102 BDAmsterdam, The Netherlands.
&
D. KandhaiComputational Science, University of Amsterdam, Science Park 904, 1098 XHAmsterdam, The Netherlands.;Quantitative Analytics, ING Bank, Foppingadreef 7, 1102 BDAmsterdam, The Netherlands.
Pages 1725-1740 | Received 31 Jul 2015, Accepted 31 Mar 2016, Published online: 25 May 2016

Citations (4)

Keep up to date with the latest research on this topic with citation updates for this article.

Subscribe to citation updates

Read on this site (2)

J. H. Hoencamp, J. P. de Kort & B. D. Kandhai. (2022) The Impact of Stochastic Volatility on Initial Margin and MVA for Interest Rate Derivatives. Applied Mathematical Finance 29:2, pages 141-179.
Read now
C. S. L. de Graaf, D. Kandhai & C. Reisinger. (2018) Efficient exposure computation by risk factor decomposition. Quantitative Finance 18:10, pages 1657-1678.
Read now

Articles from other publishers (2)

Lei Wang, Shouwei Li & Tingqiang Chen. (2019) Investor behavior, information disclosure strategy and counterparty credit risk contagion. Chaos, Solitons & Fractals 119, pages 37-49.
Crossref
Zhang Sumei & Zhao Jieqiong. (2017) Efficient Simulation for Pricing Barrier Options with Two-Factor Stochastic Volatility and Stochastic Interest Rate. Mathematical Problems in Engineering 2017, pages 1-8.
Crossref

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.