Credit Derivative Pricing with Stochastic Volatility Models-Reference-Cited by-同舟云学术

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Credit Derivative Pricing with Stochastic Volatility Models

Published:2011 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Chiarella Carl,Maina Samuel Chege,Nikitipoulos Sklibosios Christina

Publisher

Elsevier BV

Reference39 articles.

1. Implied Volatility Functions in Heath-Jarrow-Morton Models;K Amin;Journal of Financial Economics,1995

2. The Stochastic Volatility of Short-term Interest Rates: Some International Evidence;C A Ball;Journal of Finance,1999

3. The Slope of the Term Structure of Credit Spreads: An Empirical Investigation;M Bedendo;Journal of Financial Research,2007

4. On Correlation and Default Clustering in Credit Markets;A Berndt;Review of Financial Studies,2010

5. Hedging of basket credit derivatives in credit swap market;T Bielecki;Journal of Credit Risk,2007

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