On a multiple credit rating migration model with stochastic interest rate

DOI10.1002/mma.6435zbMath1448.35512MaRDI QIDQ5119992

Zhenzhen Wang, Zhehao Huang, Tianpei Jiang

Publication date: 9 September 2020

Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/mma.6435

zbMATH Keywords

free boundary problem; stochastic interest rate; multiple credit rating migration; pricing model for corporate bond; asymptotic traveling wave

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

35R35: Free boundary problems for PDEs

35K10: Second-order parabolic equations

91G40: Credit risk

35Q91: PDEs in connection with game theory, economics, social and behavioral sciences

35C07: Traveling wave solutions

Related Items

Free boundary problem pricing defaultable corporate bonds with multiple credit rating migration risk and stochastic interest rate