PDE models for the pricing of a defaultable coupon-bearing bond under an extended JDCEV model

DOI10.1016/j.cnsns.2021.105914zbMath1479.91392arXiv1905.01099OpenAlexW3166210862WikidataQ114196523 ScholiaQ114196523MaRDI QIDQ2045957

Andrea Pascucci, Sidi Diop, Carlos Vázquez, Maria del Carmen Calvo-Garrido

Publication date: 16 August 2021

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1905.01099

zbMATH Keywords

semi-Lagrangian methoddefaultable coupon bondquadratic Lagrange finite elementsJDCEV pricing modelPDE formulation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

Related Items

Model and numerical methods for pricing renewable energy certificate derivatives

Cites Work

• Unnamed Item
• Analytical approximation of the transition density in a local volatility model
• Expansions asymptotiques pour équations paraboliques dégénérées
• A jump to default extended CEV model: an application of Bessel processes
• PDE and martingale methods in option pricing.
• Local densities for a class of degenerate diffusions
• A Theory of the Term Structure of Interest Rates
• Mathematical Analysis and Numerical Methods for Pricing Pension Plans Allowing Early Retirement
• A comprehensive structural model for defaultable fixed-income bonds
• ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS
• CDS calibration under an extended JDCEV model
• Analytical Expansions for Parabolic Equations
• An equilibrium characterization of the term structure
• Numerical Analysis of Convection‐Diffusion‐Reaction Problems with Higher Order Characteristics/Finite Elements. Part I: Time Discretization
• Numerical Analysis of Convection‐Diffusion‐Reaction Problems with Higher Order Characteristics/Finite Elements. Part II: Fully Discretized Scheme and Quadrature Formulas
• Pricing defaultable bonds: a middle-way approach between structural and reduced-form models