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

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

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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：开发了一种前固定有限差分差分法，用于使用信用额定迁移的公司债券进行定价。提出了两种算法：第一个是预测器校正器类型，而第二个是一种类似牛顿的方法。比较数值实验表明了数值算法的效率和有效性。

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《International Conference on Numerical Methods and Applications》|2019年|500p|共8页
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Juri Kandilarov; Lubin Vulkov;
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中图分类 TP301.6-53;
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;信用评级迁移;自由边界问题;有限差分方案;预测器校正器方法;牛顿方法;

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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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