NEW MODEL FOR PRICING QUANTO CREDIT DEFAULT SWAPS

DOI10.1142/S0219024919500031zbMath1411.91561OpenAlexW2911292159WikidataQ128586098 ScholiaQ128586098MaRDI QIDQ5376999

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Publication date: 21 May 2019

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024919500031

zbMATH Keywords

stochastic interest ratesradial basis function methodreduced form modelsjump-at-defaultquanto credit default swaps

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Uses Software

• Matlab
• BENCHOP

Cites Work

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• MULTI-CURRENCY CREDIT DEFAULT SWAPS
• PDE approach to valuation and hedging of credit derivatives

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