Weak Convergence of Path-Dependent SDEs in Basket Credit Default Swap Pricing with Contagion Risk-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

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

Published:2017-01 Issue:1 Volume:8 Page:1-27
ISSN:1945-497X
Container-title:SIAM Journal on Financial Mathematics
language:en
Short-container-title:SIAM J. Finan. Math.

Author:

Huang Yao Tung,Song Qingshuo,Zheng Harry

Funder

Research Grants Council, University Grants Committee

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Applied Mathematics,Finance,Numerical Analysis

Link

https://epubs.siam.org/doi/pdf/10.1137/15M1052329

Reference15 articles.

1. Weak consistency of the Euler method for numerically solving stochastic differential equations with discontinuous coefficients

2. On pricing basket credit default swaps

3. Modeling basket credit default swaps with default contagion

4. Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations

5. Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients

Cited by 9 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Credit default swap pricing with counterparty risk in a reduced form model with Hawkes process;Communications in Statistics - Theory and Methods;2024-05-09

2. Basket Credit Default Swap Pricing with Two Defaultable Counterparties;Discrete Dynamics in Nature and Society;2022-03-22

3. Credit default swap pricing with counterparty risk in a reduced form model with a common jump process;Probability in the Engineering and Informational Sciences;2022-02-22

4. Dynamic analysis of counterparty exposures and netting efficiency of central counterparty clearing;Quantitative Finance;2021-02-04

5. Progress in the use of DNA barcodes in the identification and classification of medicinal plants;Ecotoxicology and Environmental Safety;2021-01

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP

Copyright © 2019-2024 北京同舟云网络信息技术有限公司
京公网安备11010802033243号京ICP备18003416号-3