A free boundary problem for defaultable corporate bond with credit rating migration risk and its asymptotic behavior

DOI10.3934/dcdsb.2019207zbMath1428.35688WikidataQ127233818 ScholiaQ127233818MaRDI QIDQ2284922

Jin Liang, Bei Hu, Yuan Wu

Publication date: 15 January 2020

Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/dcdsb.2019207

zbMATH Keywords

asymptotic solution; free boundary; credit risk; structure model; credit rating migration; corporate bond

Mathematics Subject Classification ID

35R35: Free boundary problems for PDEs

35K10: Second-order parabolic equations

91G40: Credit risk

35Q91: PDEs in connection with game theory, economics, social and behavioral sciences

Related Items

A Free Boundary Problem for Corporate Bond Pricing and Credit Rating Under Different Upgrade and Downgrade Thresholds, Double free boundary problem for defaultable corporate bond with credit rating migration risks and their asymptotic behaviors, A traveling wave with a buffer zone for asymptotic behavior of an asymmetric fixed credit migration model, A bond pricing model with credit migration risk: different upgrade and downgrade thresholds, Free boundary problem pricing defaultable corporate bonds with multiple credit rating migration risk and stochastic interest rate

Cites Work

• Asymptotic traveling wave solution for a credit rating migration problem
• On Cox processes and credit risky securities
• Blow-up theories for semilinear parabolic equations
• A free boundary problem for corporate bond with credit rating migration
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