Bond markets with stochastic volatility

Advances in Econometrics

Volumn 22, Issue , 2008, Pages 215-242

  DeSantiago, Rafael ^a   Fouque, Jean Pierre ^a   Solna, Knut ^a  

^a NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 56849130285     PISSN: 07319053     EISSN: None     Source Type: Book Series    
DOI: 10.1016/S0731-9053(08)22009-8     Document Type: Review

References (12)

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5. Cotton, P., Fouque, J. P., Sircar, R., & Solna, K. (2008). Multiname and multiscale default modeling (preprint).
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8. Duffie D., and Kan R. A yield-factor model of interest rates. Mathematical Finance 6 (1996) 379-406
9. Fouque J.P., Papanicolaou G., and Sircar K.R. Derivatives in financial markets with stochastic volatility (2000), Cambridge University Press, Cambridge
10. Fouque J.P., Sircar R., and Solna K. Stochastic volatility effects on de-faultable bonds. Applied Mathematical Finance 13 (2006) 215-244
11. Papageorgiou, E., & Sircar, R. (2008a). Multiscale intensity models and name grouping for valuation of multi-name credit derivatives (submitted).
12. Papageorgiou, E., & Sircar, R. (2008b). Multiscale intensity models for single name credit derivatives, Applied Mathematical Finance (to appear).