Razvan Sufana

University of Toronto - Department of Economics

150 St. George Street

Toronto, Ontario M5S 3G7

Canada

  • University of Toronto - Department of Economics

SCHOLARLY PAPERS

3

DOWNLOADS

1,663

SSRN CITATIONS
Rank 21,772

SSRN RANKINGS

Top 21,772

in Total Papers Citations

6

CROSSREF CITATIONS

55

Scholarly Papers (3)

Actions:
Email selected abstracts
1.

Derivative Pricing with Multivariate Stochastic Volatility: Application to Credit Risk

Les Cahiers du CREF of HEC Montréal Working Paper No. CREF 04-09
Number of pages: 49 Posted: 18 Jul 2005
Christian Gourieroux and Razvan Sufana
University of Toronto - Department of Economics and University of Toronto - Department of Economics
Downloads 1,042 (42,449)
Citation 37

Abstract:

Loading...

Stochastic volatility, derivative pricing, Wishart process, credit risk

2.

Wishart Quadratic Term Structure Models

Les Cahiers du CREF of HEC Montreal Working Paper No. 03-10
Number of pages: 35 Posted: 18 Jul 2005
Christian Gourieroux and Razvan Sufana
University of Toronto - Department of Economics and University of Toronto - Department of Economics
Downloads 621 (84,679)
Citation 61

Abstract:

Loading...

Affine Term Structure, Quadratic Term Structure, CAR Process, Affine Process, WAR Process

3.

A Classification of Two-Factor Affine Diffusion Term Structure Models

Journal of Financial Econometrics, Vol. 4, No. 1, pp. 31-52, 2006
Posted: 29 Feb 2008
Razvan Sufana
University of Toronto - Department of Economics

Abstract:

Loading...

affine term structure model, domain restrictions, parabolic dynamics, Wishart process