A fully non-linear PDE problem from pricing CDS with counterparty risk (Q449295)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: A fully non-linear PDE problem from pricing CDS with counterparty risk |
scientific article; zbMATH DE number 6081732
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A fully non-linear PDE problem from pricing CDS with counterparty risk |
scientific article; zbMATH DE number 6081732 |
Statements
A fully non-linear PDE problem from pricing CDS with counterparty risk (English)
0 references
12 September 2012
0 references
credit derivative pricing
0 references
structure model
0 references
intensity model
0 references
fully nonlinear PDE
0 references
