Nicolae Surulescu

affiliation not provided to SSRN

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Scholarly Papers (1)

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Default Risk in Stochastic Volatility Models

CER-ETH (Center of Economic Research at ETH Zurich) Working Paper No. 10/131
Number of pages: 25 Posted: 28 Aug 2010
Hans Gersbach and Nicolae Surulescu
ETH Zurich - CER-ETH -Center of Economic Reseaarch and affiliation not provided to SSRN
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Abstract:

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stochastic volatility, Merton model, default probabilities, rate of mean reversion