Guarin, Alexander; Liu, Xiaoquan; Ng, Wing Lon - In: European Journal of Operational Research 214 (2011) 3, pp. 805-813
In this paper, we apply the meshfree radial basis function (RBF) interpolation to numerically approximate zero-coupon bond prices and survival probabilities in order to price credit default swap (CDS) contracts. We assume that the interest rate follows a Cox-Ingersoll-Ross process while the...