Modeling credit spreads under multifactor stochastic volatility | The Spanish Review of Financial Economics

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Modeling credit spreads under multifactor stochastic volatility

Jacinto Marabel Romoa,b

a BBVA, Vía de los Poblados s/n, 28033 Madrid, Spain

b Department of Management Sciences, University of Alcalá (UAH), Plaza de la Victoria 2, 28802 Alcalá de Henares, Madrid, Spain

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ISSN: 21731268
Original language: English

DOI:10.1016/j.srfe.2013.06.002

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