Default risk in interest rate derivatives with stochastic volatility

DOI10.1080/14697688.2010.543426zbMath1277.91186OpenAlexW2089268602MaRDI QIDQ2866401

Jeong-Hoon Kim, Bomi Kim

Publication date: 13 December 2013

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2010.543426

zbMATH Keywords

arbitrage pricingterm structurestochastic interest ratesvolatility modellingapplications to default risk

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (3)

Multiscale analysis on the pricing of intensity-based defaultable bonds ⋮ Stochastic volatility asymptotics of defaultable interest rate derivatives under a quadratic Gaussian model ⋮ Pricing variance swaps under stochastic volatility and stochastic interest rate

Cites Work

• Stochastic calculus for finance. II: Continuous-time models.
• Stochastic Volatility Effects on Defaultable Bonds
• Stochastic Volatility Corrections for Interest Rate Derivatives
• An equilibrium characterization of the term structure
• Unnamed Item

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