Asymptotic traveling wave solution for a credit rating migration problem

Author:

Liang JinORCID,Wu Yuan,Hu Bei

Funder

National Natural Science Foundation of China

Publisher

Elsevier BV

Subject

Analysis,Applied Mathematics

Reference24 articles.

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2. Valuing risky fixed rate debt: an extension;Briys;J. Financ. Quant. Anal.,1997

3. Pricing credit-sensitive debt when interest rates, credit ratings, and credit spreads are stochastic;Das;J. Financ. Eng.,1996

4. Aleksandrov maximum principle and bony maximum principle for parabolic equations;Chen;Acta Math. Appl. Sin.,1985

5. Modeling term structures of defaultable bonds;Duffe;Rev. Financ. Stud.,1999

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4. Preliminary Mathematical Theory;Credit Rating Migration Risks in Structure Models;2024

5. Variational inequalities arising from credit rating migration with buffer zone;European Journal of Applied Mathematics;2023-12-14

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