Enhancing credit default swap valuation with meshfree methods
DOI10.1016/J.EJOR.2011.05.046zbMATH Open1219.91139OpenAlexW2068115613MaRDI QIDQ635199FDOQ635199
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
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Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Numerical interpolation (65D05)
Cites Work
- A theory of the term structure of interest rates
- Meshfree approximation methods with Matlab. With CD-ROM.
- Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
- Title not available (Why is that?)
- Interest rate models -- theory and practice. With smile, inflation and credit
- A quasi-radial basis functions method for American options pricing.
- On the simulation of portfolios of interest rate and credit risk sensitive securities
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- Calibration of the default probability model
- Multi-dimensional option pricing using radial basis functions and the generalized Fourier transform
- Modeling the dynamics of credit spreads with stochastic volatility
- Multiresolution methods in scattered data modelling.
- Improved radial basis function methods for multi-dimensional option pricing
- Default and information
- Estimation and evaluation of the term structure of credit default swaps: An empirical study
- An integrated pricing model for defaultable loans and bonds
Cited In (9)
- Pricing and risk management of interest rate swaps
- Credit spread approximation and improvement using random forest regression
- A comparative analysis of local meshless formulation for multi-asset option models
- A computational modeling and simulation of spatial dynamics in biological systems
- Computing survival probabilities based on stochastic differential models
- Recovering default risk from CDS spreads with a nonlinear filter
- Non-linear Gaussian sovereign CDS pricing 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
Uses Software
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