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Credit Risk I: Structural Models with Stochastic Volatility

Authors :
Jean-Pierre Fouque
Ronnie Sircar
Knut Sølna
George Papanicolaou
Publication Year :
2011
Publisher :
Cambridge University Press, 2011.

Subjects

Subjects :
Stochastic volatility
Financial economics
Constant elasticity of variance model
Volatility swap
Volatility smile
Economics
Implied volatility
Volatility risk premium
Rendleman–Bartter model
Credit risk

Details

Database :
OpenAIRE
Accession number :
edsair.doi...........cce5aab6687791832bb515a49d704b52
Full Text :
https://doi.org/10.1017/cbo9781139020534.014
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