Partial differential equation pricing method for double-name credit-linked notes with counterparty risk in a reduced-form model with common shocks
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Publication:517945
DOI10.1016/j.jmaa.2017.01.077zbMath1360.91148OpenAlexW2584019168WikidataQ115346006 ScholiaQ115346006MaRDI QIDQ517945
Publication date: 28 March 2017
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2017.01.077
Related Items (4)
A bivariate Markov modulated intensity model: applications to insurance and credit risk modelling ⋮ Valuation of kth-to-default credit-linked notes with counterparty risk in a reduced-form model ⋮ Basket CDS pricing with default intensities using a regime-switching shot-noise model ⋮ On a convergent power series method to price defaultable bonds in a Vašíček-CIR model
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- Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling
- Explicit formulas for pricing credit-linked notes with counterparty risk under reduced-form framework
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