A free boundary problem for corporate bond with credit rating migration

DOI10.1016/J.JMAA.2015.03.040MaRDI QIDQ2348504zbMATH OpenOpenAlexWikidataFDO

Authors Bei Hu, Jin Liang, Yuan Wu

Publication date 12 June 2015

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmaa.2015.03.040

zbMATH Keywords

corporate bond pricingcredit rating migrationcredit riskfirm asset valuefree boundarystructure model

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Credit risk (91G40) Corporate finance (dividends, real options, etc.) (91G50) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• A free boundary problem for defaultable corporate bond with credit rating migration risk and its asymptotic behavior
• A Free Boundary Problem for Corporate Bond Pricing and Credit Rating Under Different Upgrade and Downgrade Thresholds
• Free boundaries of credit rating migration in switching macro regions
• Asymptotic behaviors of a free boundary raised from corporate bond evaluation with credit rating migration risks
• Free boundary problem pricing defaultable corporate bonds with multiple credit rating migration risk and stochastic interest rate

Cites work

• Blow-up theories for semilinear parabolic equations
• 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

(24)

• The valuation of multi-counterparties CDS with credit rating migration
• Free boundary problem pricing defaultable corporate bonds with multiple credit rating migration risk and stochastic interest rate
• Free boundaries of credit rating migration in switching macro regions
• Asymptotic behaviors of a free boundary raised from corporate bond evaluation with credit rating migration risks
• A free boundary problem for defaultable corporate bond with credit rating migration risk and its asymptotic behavior
• Asymptotic traveling wave for a pricing model with multiple credit rating migration risk
• Front fixing finite difference method for pricing a corporate bond with credit rating migration
• Free boundary problem for an optimal investment problem with a borrowing constraint
• Asymptotic traveling wave solution for a credit rating migration problem
• scientific article; zbMATH DE number 5524410 (Why is no real title available?)
• Convergence Rate of an Explicit Finite Difference Scheme 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
• Valuation of credit contingent interest rate swap with credit rating migration
• On a multiple credit rating migration model with stochastic interest rate
• 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
• A constructivist multiple criteria framework for mortgage risk analysis
• 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
• Stability of traveling wave solutions in a credit rating migration free boundary problem
• Structural pricing of a corporate bond with jumps and credit rating migration

This page was built for publication: A free boundary problem for corporate bond with credit rating migration

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2348504)