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

MaRDI QIDQ3640968zbMATH OpenFDO

Authors Jun Mei Ma, Jin Liang

Publication date 11 November 2009

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)

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Cited in

(14)

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

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