Pricing and Hedging in Affine Models with Possibility of Default
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Finance,Numerical Analysis
Link
http://epubs.siam.org/doi/pdf/10.1137/100816730
Reference16 articles.
1. Moment explosions in stochastic volatility models
2. Option valuation using the fast Fourier transform
3. HEDGING UNDER THE HESTON MODEL WITH JUMP-TO-DEFAULT
4. A Theory of the Term Structure of Interest Rates
5. Skew convolution semigroups and affine Markov processes
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