Table of Contents
ISRN Probability and Statistics
Volume 2013, Article ID 851419, 12 pages
http://dx.doi.org/10.1155/2013/851419
Research Article

Multidimensional Structural Credit Modeling under Stochastic Volatility

1Ryerson University, Toronto, Canada M5B 2K3
2Technische Universität München, 85748 München, Germany
3RiskLab Toronto at the University of Toronto, Toronto, Canada M5S 2E4
4Chair of Mathematical Finance, Technische Universität München, 85748 München, Germany

Received 13 April 2013; Accepted 8 May 2013

Academic Editors: P. D'Urso, M. Galea, P. E. Jorgensen, and S. Sagitov

Copyright © 2013 Marcos Escobar et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Linked References

  1. M. Escobar, T. Friederich, M. Krayzler, L. Seco, and R. Zagst, “Structural credit modeling under stochastic volatility,” International Journal of Statistics and Probability, vol. 1, pp. 7–20, 2012. View at Google Scholar
  2. R. C. Merton, “Theory of rational option pricing,” Bell Journal of Economics and Management Science, vol. 4, pp. 141–183, 1973. View at Google Scholar · View at Zentralblatt MATH · View at MathSciNet
  3. F. Black and J. Cox, “Valuing corporate securities: some effects of bond indenture provisions,” Journal of Finance, vol. 31, no. 2, pp. 351–367, 1976. View at Google Scholar
  4. S. Heston, “A closed-form solution for options with stochastic volatility with applications to bond and currency options,” The Review of Financial Studies, vol. 6, no. 2, pp. 327–343, 1993. View at Google Scholar
  5. W. Feller, “Two singular diffusion problems,” Annals of Mathematics, vol. 54, pp. 173–182, 1951. View at Publisher · View at Google Scholar · View at Zentralblatt MATH · View at MathSciNet
  6. J. C. Cox, J. E. Ingersoll Jr., and S. A. Ross, “A theory of the term structure of interest rates,” Econometrica, vol. 53, no. 2, pp. 385–407, 1985. View at Publisher · View at Google Scholar · View at MathSciNet
  7. R. Zagst, Interest-Rate Management, Springer, Berlin, Germany, 2002. View at MathSciNet
  8. M. Escobar, T. Friederich, M. Krayzler, L. Seco, and R. Zagst, “A general structural approach for credit modeling under stochastic volatility,” Journal of Financial Transformations, vol. 32, pp. 123–132, 2011. View at Google Scholar
  9. F. Black, “Studies in stock price volatility changes,” in Proceedings of the Business Meeting of the Business and Economic Statistics Section, American Statistical Association, pp. 177–181, 1976.
  10. A. Eydeland and K. Wolyniec, Energy and Power Risk Management: New Development in Modeling, Pricing and Hedging, Wiley, 2003.
  11. C. Walter and J. Lopez, “Is implied correlation worth calculating? Evidence from foreign exchange options and historical data,” Research Paper 9730, Federal Reserve Bank of New York, 1997. View at Google Scholar
  12. V. Genon-Catalot, T. Jeantheau, and C. Larédo, “Stochastic volatility models as hidden Markov models and statistical applications,” Bernoulli, vol. 6, no. 6, pp. 1051–1079, 2000. View at Publisher · View at Google Scholar · View at Zentralblatt MATH · View at MathSciNet