Recovering default risk from CDS spreads with a nonlinear filter

DOI10.1016/j.jedc.2013.09.006zbMath1402.91845OpenAlexW2169739791MaRDI QIDQ1994302

Alexander Guarin, Xiaoquan Liu, Wing Lon Ng

Publication date: 1 November 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://repository.essex.ac.uk/11214/1/CCFEA-WP061-12.pdf

zbMATH Keywords

Fokker-Planck equationCIR modelradial basis function interpolationmeshfree methodsCDS spreads

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (3)

A comparative analysis of local meshless formulation for multi-asset option models ⋮ A computational modeling and simulation of spatial dynamics in biological systems ⋮ Non-linear Gaussian sovereign CDS pricing models

Uses Software

• Matlab

Cites Work

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