Browsing 15 Commerce, Management, Tourism and Services by Author "Nikitopoulos Sklibosios Christina"

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  • Browsing 15 Commerce, Management, Tourism and Services by Author

Browsing 15 Commerce, Management, Tourism and Services by Author "Nikitopoulos Sklibosios Christina"

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  • A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework 
    Chiarella Carl; Nikitopoulos Sklibosios Christina (Springer Netherlands, 2005)
    This paper considers a class of term structure models that is a parameterisation of the Shirakawa (1991) extension of the Heath et al. (1992) model to the case of jump-diffusions. We consider specific forward rate volatility ...
  • A Markovian Defaultable Term Structure Model with State Dependent Volatilities 
    Chiarella Carl; Nikitopoulos Sklibosios Christina; Schlogl Erik (World Scientific Publishing Company, 2004)
    The defaultable forward rate is modelled as a jump diffusion process within the Schonbucher [26,27] general Heath, Jarrow and Morton [20] framework where jumps in the defaultable term structure fd(t, T) cause jumps and ...
  • Real-world jump-diffusion term structure models 
    Bruti Liberati Nicola; Nikitopoulos Sklibosios Christina; Platen Eckhard (IOP Publishing Ltd., 2010)
    This paper considers interest rate term structure models in a market attracting both continuous and discrete types of uncertainty. The event-driven noise is modelled by a Poisson random measure. Using as numeraire the ...