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

DOI10.1016/S0731-9053(08)22008-6MaRDI QIDQ3572016zbMATH OpenFDO

Authors Jingyi Zhu

Publication date 30 June 2010

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

Mathematics Subject Classification ID

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

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Cited in

(5)

• Discrete credit barrier models
• A partial differential equation for credit derivatives pricing
• 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
• scientific article; zbMATH DE number 2133101 (Why is no real title available?)

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