Stochastic volatility effects on defaultable bonds

Applied Mathematical Finance

Volumn 13, Issue 3, 2006, Pages 215-244

  Fouque, Jean Pierre ^a,c   Sircar, Ronnie ^b   Sølna, Knut ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b Princeton University   (United States)

^c UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Calibration; First passage structural approach; Stochastic volatility; Time scales; Yield spreads

Indexed keywords

EID: 33751567026     PISSN: 1350486X     EISSN: 14664313     Source Type: Journal    
DOI: 10.1080/13504860600563127     Document Type: Article

References (25)

1. Bielecki, T. and Rutkowski, M. (2002) Credit risk: modeling, valuation and hedging, Springer Finance.
2. Black, F. and Cox, J. C. (1976) Valuing corporate securities: some effects of bond indenture provisions, Journal of Finance, 31, pp. 351-367.
3. Boyarchenko, S., Endogenous default under Lévy Processes. Working paper.
4. Collin-Dufresne, P. and Goldstein, R. (2001) Do credit spreads reflect stationary leverage ratios? Reconciling structural and reduced form frameworks, Journal of Finance, 56, pp. 1929-1958.
5. Duffie, D. and Singleton, K. (2003) Credit Risk (Princeton, NJ: Princeton University Press).
6. Cotton, P. et al. (2004) Stochastic volatility corrections for interest rates derivatives, Mathematical Finance, 14, pp. 173-200.
7. Duffie, D. and Lando, D. (2001) Term structures of credit spreads with incomplete accounting information, Econometrica, 69, pp. 633-664.
8. Eom, Y. et al. (2004) Structural models of corporate bond pricing: an empirical analysis, Review of Financial Studies, 17, pp. 499-544.
9. Fouque, J.-P. et al. (2000) Derivatives in Financial Markets with Stochastic Volatility (Cambridge, MA: Cambridge University Press).
10. Fouque, J.-P. et al. (2003a) Short time-scale in S&P 500 volatility, Journal of Computational Finance, 6(4), pp. 1-23.
11. Fouque, J.-P. et al. (2003b) Singular perturbations in option pricing, SIAM Journal on Applied Mathematics, 63, pp. 1648-1665.
12. Fouque, J.-P. et al. (2004a) Multiscale stochastic volatility asymptotics, SIAM Journal Multiscale Modeling and Simulation, 2(1), pp. 22-42.
13. Fouque, J.-P. et al. (2004b) Timing the smile, Wilmott Magazine, March.
14. Giesecke, K. (2004) Correlated default with incomplete information, Journal of Banking and Finance, 28, pp. 1521-1545.
15. Giesecke, K. (2005) Default and information, Journal of Economic Dynamics and Control, forthcoming.
16. Giesecke, K. (2004) Credit risk modelling and valuation: an introduction, In: D. Shimko (Ed.) Credit Risk, Models and Management, 2nd edn, pp. 487-526 (Risk Books).
17. Hilberink, B. and Rogers, C. (2002) Optimal capital structure and endogenous default, Finance and Stochastics, 6, pp. 237-263.
18. Ilhan, A. et al. (2004) Singular perturbations for boundary value problems arising from exotic options, SIAM J. Applied Math, 64, pp. 1268-1293.
19. Karatzas, I. and Shreve, S. (1991) Brownian Motion and Stochastic Calculus, 2nd edn (Springer Verlag).
20. Longstaff, F. and Schwartz, E. (1995) Valuing risky debt: a new approach, The Journal of Finance, 50, pp. 789-821.
21. Merton, R. (1974) On the pricing of corporate debt: the risk structure of interest rates, Journal of Finance, 29, pp. 449-470.
22. Schönbucher, Ph. (2003) Credit Derivatives Pricing Models (Chichester: John Wiley & Sons).
23. Shimko, D. (Ed.) (2004) Credit Risk, Models and Management, 2nd edn (Risk Books).
24. Wilmott, P. et al. (1995) The Mathematics of Financial Derivatives. A Student Introduction (Cambridge: Cambridge University Press).
25. Zhou, C. (2001) The term structure of credit spreads with jump risk, Journal of Banking and Finance, 25, pp. 2015-2040.