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This paper reviews and puts in context some of our recent work on stochastic volatility modelling for financial economics. Here our main focus is on: (i) the relationship between subordination and… (More)
Classically, in reduced form default models the instantaneous default intensity is the modelling object and survival probabilities are given by the Laplace transform of At = R t 0 sds. Instead,… (More)
The introduction makes up for the mandatory abstract.