Enhancing credit default swap valuation with meshfree methods

Keyphrases

• Credit Default Swaps 100%
• Radial Basis Function Interpolation 100%
• Meshless Method 100%
• Finite Difference Method 66%
• Interest Rates 33%
• Credit Default Swap Spreads 33%
• Default Intensity 33%
• Computationally Efficient 33%
• Two-factor Model 33%
• Numerical Experiments 33%
• Survival Probability 33%
• Price Probability 33%
• Cox-Ingersoll-Ross Model 33%
• Zero Coupon Bond Prices 33%
• Meshless 33%
• Approximate Zero 33%
• Vasicek Model 33%
• Swap Contract 33%

Mathematics

• Basis Function 100%
• Meshfree Method 100%
• Finite Difference Method 66%
• Approximates 33%
• Numerical Experiment 33%
• Survival Probability 33%

Economics, Econometrics and Finance

• Credit Derivative 100%
• Factor Model 33%
• Mean Reversion 33%
• Zero-Coupon Bond 33%