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A fully non-linear PDE problem from pricing CDS with counterparty risk
1. | Department of Applied and Computational Mathematics and Statistics, University of Notre Dame, Notre Dame, IN 46556 |
2. | Department of Mathematics, Tongji University, Shanghai 200092, China, China, China |
References:
[1] |
F. Black and J. Cox, Valuing corporate securities: Some effects of bond indenture provisions, Journal of Finance, 31 (1976), 351-367.
doi: 10.1111/j.1540-6261.1976.tb01891.x. |
[2] |
T. Bielecki and M. Rutkowski, "Credit Risk: Modeling, Valuation and Hedging," Springer Finance, Springer-Verlag, Berlin, 2002. |
[3] |
S. Crepey, M. Jeanblanc and B. Zargari, Counterparty risk on a CDS in a Markov Chain Copula model with joint defaults, working paper, 2009. |
[4] |
J. Cox, J. Ingersoll and S. Ross, A Theory of the term structure of interest rates, Econometrica, 53 (1985), 385-407.
doi: 10.2307/1911242. |
[5] |
D. Duffie and K. J. Singleton, Modeling term structures of defaultable bonds, Review of Financial Studies, 12 (1999), 687-720.
doi: 10.1093/rfs/12.4.687. |
[6] |
B. Øksendal, "Stochastic Differential Equations. An Introduction with Applications," fifth edition, Universitext, Springer-Verlag, Berlin, 1998. |
[7] |
A. Friedman, "Variational Principles and Free Boundary Problems," Second edition, Robert E. Krieger Publishing Co., Inc., Malabar, FL, 1988. |
[8] |
D. Lando, On Cox processes and credit risky securities, Review of Derivatives Research, 2 (1998), 99-120. |
[9] |
F. Longstaff and E. Schwartz, A simple approach to valuing risky fixed and floating rate debt, Journal of Finance, 50 (1995), 789-819.
doi: 10.2307/2329288. |
[10] |
R. Merton, On the valuing of corporate debt: The risk structure of interest rates, Journal of Finance, 29 (1974), 449-470.
doi: 10.1111/j.1540-6261.1974.tb03058.x. |
show all references
References:
[1] |
F. Black and J. Cox, Valuing corporate securities: Some effects of bond indenture provisions, Journal of Finance, 31 (1976), 351-367.
doi: 10.1111/j.1540-6261.1976.tb01891.x. |
[2] |
T. Bielecki and M. Rutkowski, "Credit Risk: Modeling, Valuation and Hedging," Springer Finance, Springer-Verlag, Berlin, 2002. |
[3] |
S. Crepey, M. Jeanblanc and B. Zargari, Counterparty risk on a CDS in a Markov Chain Copula model with joint defaults, working paper, 2009. |
[4] |
J. Cox, J. Ingersoll and S. Ross, A Theory of the term structure of interest rates, Econometrica, 53 (1985), 385-407.
doi: 10.2307/1911242. |
[5] |
D. Duffie and K. J. Singleton, Modeling term structures of defaultable bonds, Review of Financial Studies, 12 (1999), 687-720.
doi: 10.1093/rfs/12.4.687. |
[6] |
B. Øksendal, "Stochastic Differential Equations. An Introduction with Applications," fifth edition, Universitext, Springer-Verlag, Berlin, 1998. |
[7] |
A. Friedman, "Variational Principles and Free Boundary Problems," Second edition, Robert E. Krieger Publishing Co., Inc., Malabar, FL, 1988. |
[8] |
D. Lando, On Cox processes and credit risky securities, Review of Derivatives Research, 2 (1998), 99-120. |
[9] |
F. Longstaff and E. Schwartz, A simple approach to valuing risky fixed and floating rate debt, Journal of Finance, 50 (1995), 789-819.
doi: 10.2307/2329288. |
[10] |
R. Merton, On the valuing of corporate debt: The risk structure of interest rates, Journal of Finance, 29 (1974), 449-470.
doi: 10.1111/j.1540-6261.1974.tb03058.x. |
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