Enhancing credit default swap valuation with meshfree methods

DOI10.1016/J.EJOR.2011.05.046MaRDI QIDQ635199zbMATH OpenOpenAlexFDO

Authors 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 methodsradial basis function interpolationdefault intensity

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Numerical interpolation (65D05)

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Cites work

• scientific article; zbMATH DE number 5145313 (Why is no real title available?)
• scientific article; zbMATH DE number 1936323 (Why is no real title available?)
• A quasi-radial basis functions method for American options pricing.
• A theory of the term structure of interest rates
• An integrated pricing model for defaultable loans and bonds
• Calibration of the default probability model
• Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
• Default and information
• Estimation and evaluation of the term structure of credit default swaps: An empirical study
• Improved radial basis function methods for multi-dimensional option pricing
• Interest rate models -- theory and practice. With smile, inflation and credit
• Meshfree approximation methods with Matlab. With CD-ROM.
• Modeling the dynamics of credit spreads with stochastic volatility
• Multi-dimensional option pricing using radial basis functions and the generalized Fourier transform
• Multiresolution methods in scattered data modelling.
• On the simulation of portfolios of interest rate and credit risk sensitive securities

Cited in

(9)

• Computing survival probabilities based on stochastic differential models
• Non-linear Gaussian sovereign CDS pricing models
• A computational modeling and simulation of spatial dynamics in biological systems
• A comparative analysis of local meshless formulation for multi-asset option models
• Forecasting the acquisition of university spin-outs: an RBF neural network approach
• Pricing and risk management of interest rate swaps
• 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

Describes a project that uses

Uses Software

• Matlab

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