Samuel Chege Maina

Publications (1)0 Total impact

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  Available from: Carl Chiarella

  Article: Markovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility

  Carl Chiarella, Samuel Chege Maina, Christina Nikitopoulos-Sklibosios
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  ABSTRACT: This paper presents a class of defaultable term structure models within the HJM framework with stochastic volatility. Under certain volatility specifications, the model admits finite dimensional Markovian structures and consequently provides tractable solutions for interest rate derivatives. We also investigate the effect of stochastic volatility and of correlation between the stochastic volatility and credit spreads on the defaultable short rate and defaultable bond prices.
  Quantitative Finance Research Centre, University of Technology, Sydney, Research Paper Series. 01/2010;