An effcient mesh free method for computing survival probability based on multi factor reduced-form models

This paper develops a new numerical method based on a meshfree method to compute survival proba- bilities while the default intensity follows the Exponential-Vasicek model. This novel approach is based on moving least squares approximation combined with collocation approach for spatial approximation and a high-order Runge-Kutta time discretization scheme. Numerical experiments are presented which show the satisfactory performance of the presented method.