On a multiple credit rating migration model with stochastic interest rate
Publication:5119992
DOI10.1002/mma.6435zbMath1448.35512OpenAlexW3032511837MaRDI QIDQ5119992
Zhenzhen Wang, Zhehao Huang, Tianpei Jiang
Publication date: 9 September 2020
Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/mma.6435
free boundary problemstochastic interest ratemultiple credit rating migrationpricing model for corporate bondasymptotic traveling wave
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Free boundary problems for PDEs (35R35) Second-order parabolic equations (35K10) Credit risk (91G40) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Traveling wave solutions (35C07)
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