Bayesian Inference for a Structural Credit Risk Model with Stochastic Volatility and Stochastic Interest Rates

2014 ◽  
Vol 13 (4) ◽  
pp. 839-867 ◽  
Author(s):  
Abel Rodríguez ◽  
Enrique ter Horst ◽  
Samuel Malone
Keyword(s):  
Bayesian Inference ◽  
Credit Risk ◽  
Interest Rates ◽  
Stochastic Volatility ◽  
Risk Model ◽  
Stochastic Interest Rates ◽  
Stochastic Interest ◽  
Credit Risk Model

scholarly journals Bounds for present value functions with stochastic interest rates and stochastic volatility

2002 ◽  
Vol 31 (1) ◽  
pp. 87-103 ◽  
Author(s):  
Ann De Schepper ◽  
Marc Goovaerts ◽  
Jan Dhaene ◽  
Rob Kaas ◽  
David Vyncke
Keyword(s):  
Interest Rates ◽  
Stochastic Volatility ◽  
Value Functions ◽  
Present Value ◽  
Stochastic Interest Rates ◽  
Stochastic Interest

scholarly journals Pricing inflation products with stochastic volatility and stochastic interest rates

2013 ◽  
Vol 52 (2) ◽  
pp. 286-299 ◽  
Author(s):  
Stefan N. Singor ◽  
Lech A. Grzelak ◽  
David D.B. van Bragt ◽  
Cornelis W. Oosterlee
Keyword(s):  
Interest Rates ◽  
Stochastic Volatility ◽  
Stochastic Interest Rates ◽  
Stochastic Interest
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