Weak Convergence of Path-Dependent SDEs in Basket Credit Default Swap Pricing with Contagion Risk

DOI10.1137/15M1052329zbMath1355.60077OpenAlexW2570891506MaRDI QIDQ2953949

Harry Zheng, Qingshuo Song, Yao Tung Huang

Publication date: 11 January 2017

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/15m1052329

zbMATH Keywords

weak convergencecounterparty riskcontagion riskpath-dependent stochastic differential equationsbasket credit default swap pricingcorrelated first-passage times

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Financial applications of other theories (91G80) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Credit risk (91G40)

Related Items (3)

Basket credit default swap pricing with two defaultable counterparties ⋮ Credit default swap pricing with counterparty risk in a reduced form model with a common jump process ⋮ Dynamic analysis of counterparty exposures and netting efficiency of central counterparty clearing

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