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

  • Juri KandilarovEmail author
  • Lubin Vulkov
Conference paper
Part of the Lecture Notes in Computer Science book series (LNCS, volume 11189)

Abstract

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.

Keywords

Corporate bond-pricing model Credit-rating migration Free boundary problem Finite difference scheme Predictor-corrector method Newton method 

Notes

Acknowledgements

This work was partially supported by the Project 2018-FNSE-03 of the University of Ruse and by the Bulgarian National Fund of Science under the Project DN 12/4-2017.

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Copyright information

© Springer Nature Switzerland AG 2019

Authors and Affiliations

  1. 1.Department of MathematicsUniversity of RuseRuseBulgaria

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