Perturbed Gaussian copula

Advances in Econometrics

Volumn 22, Issue , 2008, Pages 103-121

  Fouque, Jean Pierre ^a   Zhou, Xianwen ^a  

^a NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 56849109107     PISSN: 07319053     EISSN: None     Source Type: Book Series    
DOI: 10.1016/S0731-9053(08)22005-0     Document Type: Review

References (6)

1. Carmona R. Statistical analysis of financial data in S-PLUS (2004), Springer, New York
2. Fouque J.P., Papanicolaou G., and Sircar R. Derivatives in financial markets with stochastic volatility (2000), Cambridge University Press, Cambridge, UK
3. Fouque J.-P., Papanicolaou G., Sircar R., and Solna K. Singular perturbations in option pricing. SIAM Journal on Applied Mathematics 63 5 (2003) 1648-1665
4. Fouque J.P., Sircar R., and Solna K. Stochastic volatility effects on defaultable bonds. Applied Mathematical Finance 13 3 (2006) 215-244
5. Fouque J.P., Wignall B., and Zhou X. Modeling correlated defaults: First passage model under stochastic volatility. Journal of Computational Finance 11 3 (2008) 43-78
6. Schonbucher P. Credit derivative pricing models (2003), Wiley, Hoboken, NJ