Enhancing credit default swap valuation with meshfree methods

DOI10.1016/j.ejor.2011.05.046zbMath1219.91139MaRDI QIDQ635199

Alexander Guarin, Xiaoquan Liu, Wing Lon Ng

Publication date: 19 August 2011

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2011.05.046

zbMATH Keywords

finite difference methods; radial basis function interpolation; default intensity

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91G20: Derivative securities (option pricing, hedging, etc.)

65D05: Numerical interpolation

Related Items

Non-linear Gaussian sovereign CDS pricing models, Pricing and risk management of interest rate swaps, Computing survival probabilities based on stochastic differential models, A comparative analysis of local meshless formulation for multi-asset option models, Forecasting the acquisition of university spin-outs: an RBF neural network approach, Radial basis functions and level set method for image segmentation using partial differential equation, Credit spread approximation and improvement using random forest regression, Recovering default risk from CDS spreads with a nonlinear filter, A computational modeling and simulation of spatial dynamics in biological systems

Uses Software

• Matlab

Cites Work

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• Multiresolution methods in scattered data modelling.
• On the simulation of portfolios of interest rate and credit risk sensitive securities
• Calibration of the default probability model
• Estimation and evaluation of the term structure of credit default swaps: An empirical study
• A Theory of the Term Structure of Interest Rates
• Modeling the Dynamics of Credit Spreads with Stochastic Volatility