英文标题：
《Influence of jump-at-default in IR and FX on Quanto CDS prices》
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作者：
A. Itkin, V. Shcherbakov, A. Veygman
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最新提交年份：
2017
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英文摘要：
We propose a new model for pricing Quanto CDS and risky bonds. The model operates with four stochastic factors, namely: hazard rate, foreign exchange rate, domestic interest rate, and foreign interest rate, and also allows for jumps-at-default in the FX and foreign interest rates. Corresponding systems of PDEs are derived similar to how this is done in Bielecki at al., 2005. A localized version of the RBF partition of unity method is used to solve these 4D PDEs. The results of our numerical experiments presented in the paper qualitatively explain the discrepancies observed in the marked values of CDS spreads traded in domestic and foreign economies.
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中文摘要：
我们提出了一种新的定量CDS和风险债券定价模型。该模型具有四个随机因素，即：风险率、外汇汇率、国内利率和国外利率，还考虑了外汇和国外利率违约时的跳跃。相应的偏微分方程系统的推导方法与Bielecki等人2005年的推导方法类似。使用一种局部版本的RBF单位划分方法来求解这些4D偏微分方程。本文给出的数值实验结果定性地解释了国内外CDS利差显著值的差异。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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