PDE-based Bayesian inference of CEV dynamics for credit risk in stock prices

DOI10.1007/S10690-023-09420-ZMaRDI QIDQ6563721zbMATH OpenFDO

Authors Kensuke Kato, Nobuhiro Nakamura

Publication date 27 June 2024

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S10690-023-09420-Z

zbMATH Keywords

CEV modelcredit riskfinite difference methodHamiltonian Monte CarloPDE-based Bayesian inferencestock

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Monte Carlo methods (65C05) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Financial markets (91G15) Credit risk (91G40) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A theory of the term structure of interest rates
• Adapted solution of a backward stochastic differential equation
• Alpha-CIR model with branching processes in sovereign interest rate modeling
• An equilibrium characterization of the term structure
• Approximations to the non-central chi-square distribution
• Asymptotic equivalence of Bayes cross validation and widely applicable information criterion in singular learning theory
• Black's consol rate conjecture
• Estimating the structural credit risk model when equity prices are contaminated by trading noises
• scientific article; zbMATH DE number 41029 (Why is no real title available?)
• scientific article; zbMATH DE number 3045283 (Why is no real title available?)
• Long-range Ising model for credit portfolios with heterogeneous credit exposures
• MCMC using Hamiltonian dynamics
• On the non-central chi-square distribution
• Problems in certain two-factor term structure models
• Regression Quantiles
• Stochastic calculus for finance. II: Continuous-time models.
• The pricing of options and corporate liabilities

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