Default risk in stochastic volatility models

Metadata Label Value
Author(s): Gersbach, Hans, Surulescu, Nicolae
Publisher: CER-ETH - Center of Economic Research at ETH Zurich
Citation:

Gersbach, Hans and Surulescu, Nicolae. Default risk in stochastic volatility models. CER-ETH - Center of Economic Research at ETH Zurich (2010). http://dx.doi.org/10.3929/ethz-a-006145085

Document Type: Reports  
Documents: Text (639.63KB)
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Detailed Information

Metadata Description
Title Default risk in stochastic volatility models
Author(s) Gersbach, Hans
Surulescu, Nicolae
Publication Place Zurich
Publisher CER-ETH - Center of Economic Research at ETH Zurich
Publication Date 2010
Series Economics working paper series 10/131
Language English
DOI http://dx.doi.org/10.3929/ethz-a-006145085
Subject(s) Economics, Law and Politics, General
Keyword(s) VOLATILITY
STOCK EXCHANGE QUOTATIONS
CREDIT RISK
PROBABILITY THEORY
STOCHASTIC MODELS
STOCHASTIC SIMULATION
Organisational Unit Center of Economic Research at ETH
Online Publication Date 2010
Description File Name MIME Type Size
Text   eth-1673-01.pdf application/pdf 639.63KB
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E-Collection record created: Sat, 04 Sep 2010, 04:17:29 CET