Jump diffusion in credit barrier modeling: a partial integro-differential equation approach

DOI10.1016/S0731-9053(08)22008-6zbMATH Open1189.91215MaRDI QIDQ3572016FDOQ3572016

Authors: Jingyi Zhu 

Publication date: 30 June 2010

Published in: Econometrics and Risk Management (Search for Journal in Brave)

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Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Integro-partial differential equations (35R09)

Cited In (5)

• Title not available (Why is that?)
• A partial differential equation for credit derivatives pricing
• Discrete credit barrier models
• An efficient ADI difference scheme for the nonlocal evolution problem in three-dimensional space
• Feynman-Kac for functional jump diffusions with an application to credit value adjustment

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