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

DOI10.3934/DCDSB.2019207MaRDI QIDQ2284922zbMATH OpenOpenAlexWikidataFDO

Authors Yuan Wu, Jin Liang, Bei Hu

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 solutioncorporate bondcredit rating migrationcredit riskfree boundarystructure model

Mathematics Subject Classification ID

Second-order parabolic equations (35K10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Free boundary problems for PDEs (35R35) Credit risk (91G40)

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Cites work

• A free boundary problem for corporate bond with credit rating migration
• Asymptotic traveling wave solution for a credit rating migration problem
• Blow-up theories for semilinear parabolic equations
• scientific article; zbMATH DE number 3899626 (Why is no real title available?)
• scientific article; zbMATH DE number 473351 (Why is no real title available?)
• scientific article; zbMATH DE number 2233868 (Why is no real title available?)
• On Cox processes and credit risky securities

Cited in

(14)

• Free boundary problem pricing defaultable corporate bonds with multiple credit rating migration risk and stochastic interest rate
• Asymptotic behaviors of a free boundary raised from corporate bond evaluation with credit rating migration risks
• Asymptotic traveling wave for a pricing model with multiple credit rating migration risk
• A free boundary problem for corporate bond with credit rating migration
• Asymptotic traveling wave solution for a credit rating migration problem
• A Free Boundary Problem for Corporate Bond Pricing and Credit Rating Under Different Upgrade and Downgrade Thresholds
• A new model and its numerical method to identify multi credit migration boundaries
• scientific article; zbMATH DE number 7267189 (Why is no real title available?)
• Pricing on a defaultable and callable corporate bond with credit rating migration under the structure framework
• The debt-relief credit risk bond pricing with time-varying default boundary
• 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
• Variational inequalities arising from credit rating migration with buffer zone

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