PDE models for the pricing of a defaultable coupon-bearing bond under an extended JDCEV model.
María del Carmen Calvo-GarridoSidi DiopAndrea PascucciCarlos VázquezPublished in: Commun. Nonlinear Sci. Numer. Simul. (2021)
Keyphrases
- probabilistic model
- experimental data
- statistical model
- autoregressive
- neural network model
- analytical model
- modeling framework
- hybrid model
- computational model
- parametric models
- learning models
- accurate models
- statistical models
- classification models
- neural network
- modeling method
- generic model
- mathematical model
- process model
- parameter estimation
- linear models
- domain models
- linear model
- monte carlo simulation
- partial differential equations
- em algorithm
- expectation maximization
- probability distribution
- hidden markov models
- objective function