TY  - CHAP
AB  - We analyze stochastic volatility effects in the context of the bond market. The short rate model is of Vasicek type and the focus of our analysis is the effect of multiple scale variations in the volatility of this model. Using a combined singular-regular perturbation approach we can identify a parsimonious representation of multiscale stochastic volatility effects. The results are illustrated with numerical simulations. We also present a framework for model calibration and look at the connection to defaultable bonds.
VL  - 22
SN  - 978-1-84855-196-1, 978-1-84855-197-8/0731-9053
DO  - 10.1016/S0731-9053(08)22009-8
UR  - https://doi.org/10.1016/S0731-9053(08)22009-8
AU  - DeSantiago Rafael
AU  - Fouque Jean-Pierre
AU  - Solna Knut
ED  - Jean-Pierre Fouque
ED  - Thomas B. Fomby
ED  - Knut Solna
PY  - 2008
Y1  - 2008/01/01
TI  - Bond markets with stochastic volatility
T2  - Econometrics and Risk Management
T3  - Advances in Econometrics
PB  - Emerald Group Publishing Limited
SP  - 215
EP  - 242
Y2  - 2024/09/21
ER  -