Valuing catastrophe bonds involving credit risks

DOI10.1155/2014/563086zbMath1407.91264OpenAlexW2062840727WikidataQ59065987 ScholiaQ59065987MaRDI QIDQ1718656

Lizhao Yan, Jian Liu, Jihong Xiao, Feng-Hua Wen

Publication date: 8 February 2019

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/563086

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (2)

A BSDE with delayed generator approach to pricing under counterparty risk and collateralization ⋮ Valuing convertible bonds based on LSRQM method

Uses Software

• AS 215

Cites Work

• Unnamed Item
• Measuring and forecasting volatility in Chinese stock market using HAR-CJ-M model
• Binary tree pricing to convertible bonds with credit risk under stochastic interest rates
• Dynamics analysis of a class of delayed economic model
• Pricing options and convertible bonds based on an actuarial approach
• Genetic algorithm-based multi-criteria project portfolio selection
• Pricing and simulations of catastrophe bonds
• Pricing catastrophe risk bonds: a mixed approximation method
• Modeling Earthquake Risk via Extreme Value Theory and Pricing the Respective Catastrophe Bonds

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