Weak Convergence of Path-Dependent SDEs in Basket Credit Default Swap Pricing with Contagion Risk.
Yao Tung HuangQingshuo SongHarry ZhengPublished in: SIAM J. Financial Math. (2017)
Keyphrases
- risk analysis
- financial markets
- credit risk
- risk management
- risk evaluation
- black scholes
- credit scoring
- shortest path
- risk assessment
- evaluation method
- decision support system
- pricing model
- commercial banks
- high risk
- credit card
- risk factors
- convergence speed
- decision making
- optimal path
- endpoints
- optimal pricing
- graph cuts