9 citations · 21 across the 15 of their papers we have counts for
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q-fin.CP2009
Defaultable bonds with an infinite number of Levy factors
Jacek Jakubowski, Mariusz Nieweglowski
A market with defaultable bonds where the bond dynamics is in a Heath-Jarrow-Morton setting and the forward rates are driven by an infinite number of Levy factors is considered. Th…
q-fin.PR2009
Linear stochastic volatility models
Jacek Jakubowski, Maciej Wisniewolski
In this paper we investigate general linear stochastic volatility models with correlated Brownian noises. In such models the asset price satisfies a linear SDE with coefficient of…