Pricing model of interest rate swap with a bilateral default risk

DOI10.1016/J.CAM.2009.12.042zbMath1187.91218OpenAlexW2150894340MaRDI QIDQ964973

Albert Jerry Cristoforo, Xiaohu Yang, Jinping Yu, Sheng-Hong Li, Xiao-Feng Yang

Publication date: 21 April 2010

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2009.12.042

zbMATH Keywords

Feynman-Kac formuladefault riskCrank-Nicholson difference methodinterest rate swap

Mathematics Subject Classification ID

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

Related Items (2)

Interest rate swap pricing with default risk under variance gamma process ⋮ Pricing and risk management of interest rate swaps

Cites Work

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• Large Sample Properties of Generalized Method of Moments Estimators
• The Pricing of Options and Corporate Liabilities
• Pricing of swaps with default risk
• Modelling Australian interest rate swap spreads by mixture autoregressive conditional heteroscedastic processes
• Recursive valuation of defaultable securities and the timing of resolution of uncertainty
• Interest rate swaps under CIR.
• An equilibrium characterization of the term structure

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