Multidimensional structural credit modeling under stochastic volatility

DOI10.1155/2013/851419zbMath1273.91449OpenAlexW2027048103WikidataQ58999926 ScholiaQ58999926MaRDI QIDQ361588

Marcos Escobar, Tim Friederich, Rudi Zagst, Luis A. Seco

Publication date: 29 August 2013

Published in: ISRN Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2013/851419

zbMATH Keywords

financial crisisdefault riskHeston modelBlack/Cox frameworkFannie MaeFreddie Mac

Mathematics Subject Classification ID

Credit risk (91G40)

Cites Work

• Unnamed Item
• Two singular diffusion problems
• A Theory of the Term Structure of Interest Rates
• An intensity-based approach for equity modeling
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stochastic volatility models as hidden Markov models and statistical applications
• Interest-rate management

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