Front Fixing Finite Difference Method for Pricing a Corporate Bond with Credit Rating Migration

机译：基于信用评级迁移的企业债券定价的前固定有限差分法

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摘要

A front fixing finite difference method for pricing a corporate bond with credit rating migration is developed. Two algorithms are proposed: the first one is of a predictor-corrector type while the second one is a Newton-like method. Comparison numerical experiments show the efficiency and effectiveness of the numerical algorithms.

机译：提出了一种通过信用等级迁移对公司债券定价的前期固定有限差分法。提出了两种算法：第一种是预测器-校正器类型，而第二种是类似牛顿的方法。比较数值实验表明了数值算法的有效性。

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《International conference on numerical methods and applications》|2018年|416-423|共8页
会议地点 Borovets(BG)
作者
Juri Kandilarov; Lubin Vulkov;
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Department of Mathematics University of Ruse Ruse Bulgaria;

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关键词
Corporate bond-pricing model; Credit-rating migration; Free boundary problem; Finite difference scheme; Predictor-corrector method; Newton method;

机译：公司债券定价模型；信用等级迁移；自由边界问题；有限差分方案；预测校正方法；牛顿法;

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专利

1. Utility indifference valuation of corporate bond with credit rating migration by structure approach [J] . Liang Jin, Zhao Yuejuan, Zhang Xudan Economic modelling . 2016,第apra期

机译：基于结构方法的信用评级迁移下企业债券效用差异分析
2. A FREE BOUNDARY PROBLEM FOR DEFAULTABLE CORPORATE BOND WITH CREDIT RATING MIGRATION RISK AND ITS ASYMPTOTIC BEHAVIOR [J] . YUAN WU, JIN LIANG, BEI HU Discrete and continuous dynamical systems . 2020,第3期

机译：违约企业债券的自由边界问题，信用评级迁移风险及其渐近行为
3. Asymptotic behaviors of a free boundary raised from corporate bond evaluation with credit rating migration risks [J] . Fu Wanying, Chen Xinfu, Liang Jin Interfaces and free boundaries . 2020,第3期

机译：从公司债券评估提出的自由界限的渐近行为与信用评级迁移风险
4. Front Fixing Finite Difference Method for Pricing a Corporate Bond with Credit Rating Migration [C] . Juri Kandilarov, Lubin Vulkov International Conference on Numerical Methods and Applications . 2019

机译：与信用评级迁移定价公司债券的前固定有限差分方法
5. Asymptotic Behaviors of a Free Boundary Arised from Corporate Bond Evaluation with Credit Rating Migration Risks [D] . Fu, Wanying. 2019

机译：使用信用评级迁移风险的企业债券评估产生自由边界的渐近行为
6. A novel investigation of the influence of corporate governance on firms’ credit ratings [O] . Abdullah A. K. Alkhawaldeh, Jamil J. Jaber, Dalila Boughaci, 2021

机译：对企业治理对企业信用评级的影响的小说调查
7. Utility Indifference Valuation for Defaultable Corporate Bond with Credit Rating Migration [O] . Zhehao Huang, Zhenghui Li, Zhenzhen Wang 2020

机译：与信用评级移民的可替代公司债券的实用性差异估值

Front Fixing Finite Difference Method for Pricing a Corporate Bond with Credit Rating Migration

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