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

Author:

Hu Bei,Jiang Lishang,Liang Jin,Wei Wei

Publisher

American Institute of Mathematical Sciences (AIMS)

Subject

Applied Mathematics,Discrete Mathematics and Combinatorics

Reference10 articles.

1. Valuing corporate securities: Some effects of bond indenture provisions,;F. Black;Journal of Finance,1976

2. "Credit Risk: Modeling, Valuation and Hedging,";T. Bielecki;Springer Finance,2002

3. Counterparty risk on a CDS in a Markov Chain Copula model with joint defaults,;S. Crepey;working paper,2009

4. A Theory of the term structure of interest rates,;J. Cox;Econometrica,1985

5. Modeling term structures of defaultable bonds,;D. Duffie;Review of Financial Studies,1999

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1. Mathematical Models for Measuring Default Risks;Credit Rating Migration Risks in Structure Models;2024

2. The valuation of multi-counterparties CDS with credit rating migration;Applied Mathematics-A Journal of Chinese Universities;2020-10

3. Valuation of credit contingent interest rate swap with credit rating migration;International Journal of Computer Mathematics;2020-01-16

4. Mathematical analysis of a credit default swap with counterparty risks;European Journal of Applied Mathematics;2019-09-09

5. A double obstacle model for pricing bi-leg defaultable interest rate swaps;European Journal of Applied Mathematics;2019-09-04

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