FU, WANYING
(2019)
ASYMPTOTIC BEHAVIORS OF A FREE BOUNDARY ARISED FROM CORPORATE BOND EVALUATION WITH CREDIT RATING MIGRATION RISKS.
Doctoral Dissertation, University of Pittsburgh.
(Unpublished)
Abstract
In this thesis, we study asymptotic behaviors of a free boundary arised from the evaluation of a corporate bond subject to changes of the credit rating of the underlying company. The credit rating migration is modeled by a free boundary which separates different credit rating regions in a state space. We first formulate the mathematical problem and then we establish the well-posedness of the problem and the long time-to-expiry behavior of the solution. As a result, we describe the location and asymptotic line of the free boundary. Certain numerical simulations are also provided.
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Details
| Item Type: |
University of Pittsburgh ETD
|
| Status: |
Unpublished |
| Creators/Authors: |
|
| ETD Committee: |
|
| Date: |
25 September 2019 |
| Date Type: |
Publication |
| Defense Date: |
30 May 2019 |
| Approval Date: |
25 September 2019 |
| Submission Date: |
15 June 2019 |
| Access Restriction: |
No restriction; Release the ETD for access worldwide immediately. |
| Number of Pages: |
63 |
| Institution: |
University of Pittsburgh |
| Schools and Programs: |
Dietrich School of Arts and Sciences > Mathematics |
| Degree: |
PhD - Doctor of Philosophy |
| Thesis Type: |
Doctoral Dissertation |
| Refereed: |
Yes |
| Uncontrolled Keywords: |
Credit rating, corporate bond, free boundary, asymptotic behavior. |
| Date Deposited: |
25 Sep 2019 14:50 |
| Last Modified: |
25 Sep 2019 14:50 |
| URI: |
http://d-scholarship.pitt.edu/id/eprint/36513 |
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