A fully non-linear PDE problem from pricing CDS with counterparty risk

DOI10.3934/DCDSB.2012.17.2001MaRDI QIDQ449295zbMATH OpenOpenAlexWikidataFDO

Authors Bei Hu, Lishang Jiang, Jin Liang, Wei Wei

Publication date 12 September 2012

Published in Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/dcdsb.2012.17.2001

zbMATH Keywords

credit derivative pricingfully nonlinear PDEintensity modelstructure model

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Financial applications of other theories (91G80) Initial-boundary value problems for nonlinear higher-order PDEs (35G31)

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• Valuation of credit contingent interest rate swap with credit rating migration

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