DocumentCode
3467270
Title
The RBF Method of Pricing Two-Factor Convertible Bonds with Default Risk
Author
He, Xubiao
Author_Institution
Sch. of Manage., Huazhong Univ. of Sci. & Technol., Wuhan
fYear
2008
fDate
12-14 Oct. 2008
Firstpage
1
Lastpage
5
Abstract
The focus of this work is on numerical solutions to two-factor partial differential equation for pricing convertible bonds with default risk. The model includes three impact factors: stock value, stochastic interest rate and default risk We interpolated convertible bonds using radial basis functions, and gained numerical solution of convertible bonds with good precision.
Keywords
economic indicators; partial differential equations; pricing; radial basis function networks; securities trading; stochastic processes; RBF method; default risk; numerical solutions; partial differential equation; pricing two-factor convertible bonds; radial basis functions; stochastic interest rate; stock value; Economic indicators; Grid computing; Hazards; Helium; Interpolation; Partial differential equations; Pricing; Risk management; Technology management; Time factors;
fLanguage
English
Publisher
ieee
Conference_Titel
Wireless Communications, Networking and Mobile Computing, 2008. WiCOM '08. 4th International Conference on
Conference_Location
Dalian
Print_ISBN
978-1-4244-2107-7
Electronic_ISBN
978-1-4244-2108-4
Type
conf
DOI
10.1109/WiCom.2008.2319
Filename
4680508
Link To Document