Valuing catastrophe bonds involving credit risks
DOI10.1155/2014/563086zbMATH Open1407.91264OpenAlexW2062840727WikidataQ59065987 ScholiaQ59065987MaRDI QIDQ1718656FDOQ1718656
Lizhao Yan, Jian Liu, Fenghua Wen, Jihong Xiao
Publication date: 8 February 2019
Published in: Mathematical Problems in Engineering (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2014/563086
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Credit risk (91G40)
Cites Work
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- Genetic algorithm-based multi-criteria project portfolio selection
- Dynamics analysis of a class of delayed economic model
- Measuring and forecasting volatility in Chinese stock market using HAR-CJ-M model
- Binary tree pricing to convertible bonds with credit risk under stochastic interest rates
- Pricing options and convertible bonds based on an actuarial approach
- Pricing catastrophe risk bonds: a mixed approximation method
- Pricing and simulations of catastrophe bonds
- Modeling Earthquake Risk via Extreme Value Theory and Pricing the Respective Catastrophe Bonds
Cited In (6)
- Valuing convertible bonds based on LSRQM method
- Valuing catastrophe bonds involving correlation and CIR interest rate model
- A NOTE ON RISKY BOND VALUATION
- Valuing catastrophe bonds by Monte Carlo simulations
- A BSDE with delayed generator approach to pricing under counterparty risk and collateralization
- Pricing the Risk-Transfer financial Instruments via Monte Carlo Methods
Uses Software
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