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Damircheli, Davood; Razzaghi, Mohsen; Kazemi, Seyed-Mohammad-Mahdi; Bastani, Ali Foroush

A de-singularized meshfree approach to default probability estimation under a regime-switching synchronous-jump tempered stable Lévy model. (English) Zbl 1521.91385

Eng. Anal. Bound. Elem. 150, 364-373 (2023).

MSC:

91G60 Numerical methods (including Monte Carlo methods)
60G51 Processes with independent increments; Lévy processes
62P05 Applications of statistics to actuarial sciences and financial mathematics
65D12 Numerical radial basis function approximation
91G40 Credit risk

Keywords:

default probability; structural credit risk model; strictly positive-definite functions; radial basis function collocation; regime switching; tempered stable Lévy process

Software:

Matlab; QRM
Cite Review PDF
Full Text: DOI

References:

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