A fully non-linear PDE problem from pricing CDS with counterparty risk

DOI10.3934/DCDSB.2012.17.2001zbMath1250.35168OpenAlexW2004101744WikidataQ116009490 ScholiaQ116009490MaRDI QIDQ449295

Bei Hu, Li-Shang Jiang, Jin Liang, Wei Wei

Publication date: 12 September 2012

Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/dcdsb.2012.17.2001

zbMATH Keywords

credit derivative pricingfully nonlinear PDEintensity modelstructure model

Mathematics Subject Classification ID

Financial applications of other theories (91G80) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Initial-boundary value problems for nonlinear higher-order PDEs (35G31)

Related Items (4)

Valuation of credit contingent interest rate swap with credit rating migration ⋮ A double obstacle model for pricing bi-leg defaultable interest rate swaps ⋮ Mathematical analysis of a credit default swap with counterparty risks ⋮ The valuation of multi-counterparties CDS with credit rating migration

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