Enhancing credit default swap valuation with meshfree methods

DOI10.1016/j.ejor.2011.05.046zbMath1219.91139OpenAlexW2068115613MaRDI QIDQ635199

Alexander Guarin, Xiaoquan Liu, Wing Lon Ng

Publication date: 19 August 2011

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2011.05.046

zbMATH Keywords

finite difference methodsradial basis function interpolationdefault intensity

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical interpolation (65D05)

Related Items

A comparative analysis of local meshless formulation for multi-asset option models ⋮ Forecasting the acquisition of university spin-outs: an RBF neural network approach ⋮ Computing survival probabilities based on stochastic differential models ⋮ Radial basis functions and level set method for image segmentation using partial differential equation ⋮ Credit spread approximation and improvement using random forest regression ⋮ Recovering default risk from CDS spreads with a nonlinear filter ⋮ A computational modeling and simulation of spatial dynamics in biological systems ⋮ Non-linear Gaussian sovereign CDS pricing models ⋮ Pricing and risk management of interest rate swaps

Uses Software

• Matlab

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• An integrated pricing model for defaultable loans and bonds
• Interest rate models -- theory and practice. With smile, inflation and credit
• Improved radial basis function methods for multi-dimensional option pricing
• Multi-dimensional option pricing using radial basis functions and the generalized Fourier transform
• Default and information
• A quasi-radial basis functions method for American options pricing.
• Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
• Multiresolution methods in scattered data modelling.
• On the simulation of portfolios of interest rate and credit risk sensitive securities
• Calibration of the default probability model
• Estimation and evaluation of the term structure of credit default swaps: An empirical study
• A Theory of the Term Structure of Interest Rates
• Modeling the Dynamics of Credit Spreads with Stochastic Volatility

This page was built for publication: Enhancing credit default swap valuation with meshfree methods