Samuel Chege Maina

University of Technology Sydney (UTS) - School of Finance and Economics

Haymarket

Sydney, NSW 2007

Australia

  • University of Technology Sydney (UTS) - School of Finance and Economics

SCHOLARLY PAPERS

2

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247

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3

Scholarly Papers (2)

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1.

Markovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility

Quantitative Finance Research Centre Research Paper No. 283
Number of pages: 47 Posted: 22 Oct 2010
Carl Chiarella, Samuel Chege Maina and Christina Sklibosios Nikitopoulos
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of Technology Sydney (UTS) - School of Finance and Economics and University of Technology Sydney - Business School
Downloads 151 (353,993)
Citation 7

Abstract:

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stochastic volatility, Heath-Jarrow-Morton model, defaultable forward rates, credit spreads

2.

Credit Derivative Pricing with Stochastic Volatility Models

University of Technology Sydney Quantitative Finance Research Centre Research Paper No. 293
Number of pages: 40 Posted: 23 Oct 2012
Carl Chiarella, Samuel Chege Maina and Christina Sklibosios Nikitopoulos
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of Technology Sydney (UTS) - School of Finance and Economics and University of Technology Sydney - Business School
Downloads 96 (496,248)

Abstract:

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stochastic volatility, Heath-Jarrow-Morton framework, defaultable bond prices, credit spreads, CDS rates