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q-fin.MF2021★ 2 cited
From bid-ask credit default swap quotes to risk-neutral default probabilities using distorted expectations
Matteo Michielon, Asma Khedher, Peter Spreij
Risk-neutral default probabilities can be implied from credit default swap (CDS) market quotes. In practice, mid CDS quotes are used as inputs, as their risk-neutral counterparts a…
math.PR2021
An infinite-dimensional affine stochastic volatility model
Sonja Cox, Sven Karbach, Asma Khedher
We introduce a flexible and tractable infinite-dimensional stochastic volatility model. More specifically, we consider a Hilbert space valued Ornstein-Uhlenbeck-type process, whose…