Imperial College London
Professor Harry Zheng

ProfessorHarryZheng

Faculty of Natural Sciences, Department of Mathematics

Professor of Mathematics
 
 
 
//

Contact

 

+44 (0)20 7594 8539h.zheng Website

 
 
//

Location

 

6M16Huxley BuildingSouth Kensington Campus

//

Summary

 

Publications

Citation

BibTex format

@article{Huang:2017:10.1137/15M1052329,
author = {Huang, YT and Song, Q and Zheng, H},
doi = {10.1137/15M1052329},
journal = {SIAM Journal on Financial Mathematics},
pages = {1--27},
title = {Weak Convergence of Path-Dependent SDEs in Basket Credit Default Swap Pricing with Contagion Risk},
url = {http://dx.doi.org/10.1137/15M1052329},
volume = {8},
year = {2017}
}
Download

RIS format (EndNote, RefMan)

TY  - JOUR
AB  - We investigate computational aspects of basket credit default swap pricing with counterparty credit risk under a multiname contagion model. This model enables us to capture systematic volatility increases in the market triggered by particular bankruptcies. A drawback of this model is its analytical intractability due to a combination of path-dependent coefficients and a path-dependent functional, which furthermore causes potential failure of convergence of numerical approximations under standing assumptions. In this paper, we find sufficient conditions for the desired convergence of functionals associated with approximated solution of certain path-dependent stochastic differential equations.
AU  - Huang,YT
AU  - Song,Q
AU  - Zheng,H
DO  - 10.1137/15M1052329
EP  - 27
PY  - 2017///
SN  - 1945-497X
SP  - 1
TI  - Weak Convergence of Path-Dependent SDEs in Basket Credit Default Swap Pricing with Contagion Risk
T2  - SIAM Journal on Financial Mathematics
UR  - http://dx.doi.org/10.1137/15M1052329
UR  - http://hdl.handle.net/10044/1/56170
VL  - 8
ER  -
Download