Open AccessA fully non-linear PDE problem from pricing CDS with counterparty risk
Author(s) -
Bei Hu,
Lishang Jiang,
Jin Liang,
Wei Wei
Publication year - 2012
Publication title -
discrete and continuous dynamical systems - b
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.864
H-Index - 53
eISSN - 1553-524X
pISSN - 1531-3492
DOI - 10.3934/dcdsb.2012.17.2001
Subject(s) - credit risk , uniqueness , counterparty , derivative (finance) , nonlinear system , partial differential equation , sequence (biology) , mathematics , credit valuation adjustment , mathematical optimization , stackelberg competition , partial derivative , computer science , actuarial science , mathematical economics , business , mathematical analysis , finance , physics , quantum mechanics , biology , genetics , credit reference
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