Valuation of credit contingent interest rate swap with credit rating migration - Liang, Jin; Zou, Hongchun (International journal of computer mathematics, 2020)
Keywords: Algorithms; Alternating direction implicit methods; Contingent interest; counterparty default risk; Credit contingent interest rates swap; credit rating migration; Credit ratings; credit risk measure; Default; derivative pricing model; Interest rate swaps; Interest rates; Mathematical models; Numerical analysis; Partial differential equations; Pricing