Pages that link to "Item:Q3117721"
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The following pages link to Modeling the Dynamics of Credit Spreads with Stochastic Volatility (Q3117721):
Displaying 24 items.
- Pricing credit spread option with Longstaff-Schwartz and GARCH models in Chinese bond market (Q256747) (← links)
- Multidimensional structural credit modeling under stochastic volatility (Q361588) (← links)
- Enhancing credit default swap valuation with meshfree methods (Q635199) (← links)
- Discovering the impact of systemic and idiosyncratic risk factors on credit spread of corporate bond within the framework of intelligent knowledge management (Q893042) (← links)
- The impact of stock market volatility on corporate bond credit spreads. (Q1427748) (← links)
- Modelling credit spreads with time volatility, skewness, and kurtosis (Q1615804) (← links)
- Tempered stable structural model in pricing credit spread and credit default swap (Q1621638) (← links)
- Implications of implicit credit spread volatilities on interest rate modelling (Q1694952) (← links)
- Forecasting credit losses with the reversal in credit spreads (Q1741762) (← links)
- Corporate credit risk prediction under stochastic volatility and jumps (Q1991927) (← links)
- Convertible bond valuation with regime switching (Q2145547) (← links)
- Affine model of inflation-indexed derivatives and inflation risk premium (Q2256214) (← links)
- Quantization meets Fourier: a new technology for pricing options (Q2288923) (← links)
- The relation between the corporate bond-yield spread and the real economy: stable or time-varying? (Q2292830) (← links)
- A simple model for credit migration and spread curves (Q2488476) (← links)
- Pricing default events: surprise, exogeneity and contagion (Q2511807) (← links)
- Forecasting credit spread volatility: evidence from the Japanese Eurobond market (Q2575430) (← links)
- Credit risk and incomplete information: filtering and EM parameter estimation (Q2786032) (← links)
- Expectations of functions of stochastic time with application to credit risk modeling (Q2831002) (← links)
- Analysis of credit event impact with self-exciting intensity model (Q2843177) (← links)
- A NON-HOMOGENEOUS SEMI-MARKOV REWARD MODEL FOR THE CREDIT SPREAD COMPUTATION (Q3005958) (← links)
- A No-Arbitrage Analysis of Macroeconomic Determinants of the Credit Spread Term Structure (Q3117720) (← links)
- Pricing via recursive quantization in stochastic volatility models (Q4555112) (← links)
- Modelling credit default swap spreads by means of normal mixtures and copulas (Q4673732) (← links)