Structural default model with mutual obligations

DOI10.1007/s11147-016-9123-1zbMath1417.91556arXiv1505.02039OpenAlexW254472683MaRDI QIDQ1621641

Andrey Itkin, Alexander Lipton-Lifschitz

Publication date: 9 November 2018

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1505.02039

zbMATH Keywords

2D structural default modelCDS and first-to-default swap pricesjoint and marginal survival probabilitiesmutual obligations

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

OLD PROBLEMS, CLASSICAL METHODS, NEW SOLUTIONS, Transition Probability of Brownian Motion in the Octant and its Application to Default Modelling, Semi-analytical solution of a McKean–Vlasov equation with feedback through hitting a boundary

Cites Work

• The reproducing kernel structure arising from a combination of continuous and discrete orthogonal polynomials into Fourier systems
• On the first passage problem for correlated Brownian motion
• Efficient solution of structural default models with correlated jumps and mutual obligations
• Pricing credit default swaps with bilateral value adjustments
• Systemic Risk in Financial Systems
• ADI finite difference schemes for option pricing in the Heston model with correlation
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