Open AccessMarkovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility
Author(s) -
Carl Chiarella,
Samuel Chege Maina,
Christina Sklibosios Nikitopoulos
Publication year - 2010
Publication title -
ssrn electronic journal
Language(s) - Uncategorized
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.1695295
Subject(s) - heath–jarrow–morton framework , term (time) , volatility (finance) , stochastic volatility , econometrics , economics , financial economics , actuarial science , physics , quantum mechanics
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