Valuation of basket credit default swaps by the partial differential equation method

zbMATH Open1199.91217MaRDI QIDQ3640968FDOQ3640968

Authors: Jun Mei Ma, Jin Liang 

Publication date: 11 November 2009

Recommendations

• Valuation of credit default swap
• Valuation of a credit swap of the basket type
• PDE APPROACH TO THE VALUATION AND HEDGING OF BASKET CREDIT DERIVATIVES
• Credit events and the valuation of credit derivatives of basket type
• Fast Pricing of Basket Default Swaps

zbMATH Keywords

credit default swapjoint survival probabilitydefault intensityPDE approach

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Solutions to PDEs in closed form (35C05)

Cited In (14)

• Enhancing credit default swap valuation with meshfree methods
• Fast Pricing of Basket Default Swaps
• The valuation of the basket CDS in a primary-subsidiary model
• Valuation of basket credit default swaps under stochastic default intensity models
• Fast valuation of forward-starting basket default swaps
• An analytical formula for pricing \(m\)-th to default swaps
• PDE APPROACH TO THE VALUATION AND HEDGING OF BASKET CREDIT DERIVATIVES
• VALUATION METHOD OF THE TWO SURVIVAL FUNCTIONS
• Valuation of portfolio credit derivatives with default intensities using the Vasicek model
• A mixed PDE-Monte Carlo approach for pricing credit default index swaptions
• An analytic approach of valuing \(n\)th-to-default swaps
• Credit events and the valuation of credit derivatives of basket type
• Valuation of a credit swap of the basket type
• Valuation of credit default swap

This page was built for publication: Valuation of basket credit default swaps by the partial differential equation method

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3640968)