Variational inequalities arising from credit rating migration with buffer zone

DOI10.1017/s095679252300030xMaRDI QIDQ6622996

Xinfu Chen, Jin Liang

Publication date: 23 October 2024

Published in: European Journal of Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

hysteresisdeadbandfree boundarycorporate bond pricingstructure modelbuffer zonecredit rating migration

Mathematics Subject Classification ID

Free boundary problems for PDEs (35R35) Credit risk (91G40) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Cites Work

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• Asymptotic traveling wave solution for a credit rating migration problem
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• A free boundary problem for defaultable corporate bond with credit rating migration risk and its asymptotic behavior
• A free boundary problem for corporate bond with credit rating migration
• Analysis of an Inverse First Passage Problem from Risk Management
• A NONZERO‐SUM GAME APPROACH TO CONVERTIBLE BONDS: TAX BENEFIT, BANKRUPTCY COST, AND EARLY/LATE CALLS
• A Free Boundary Problem for Corporate Bond Pricing and Credit Rating Under Different Upgrade and Downgrade Thresholds

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