ON THE CREDIT RISK OF SECURED LOANS WITH MAXIMUM LOAN-TO-VALUE COVENANTS

DOI10.1142/S0219024914500551zbMath1304.91230OpenAlexW3122515649MaRDI QIDQ2939927

Agnès Tourin, Fabian Astic

Publication date: 23 January 2015

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024914500551

zbMATH Keywords

finite difference methodstochastic controlviscosity solutionssecured loans

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Optimal stochastic control (93E20) Credit risk (91G40)

Uses Software

• QRM

Cites Work

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