We investigate the computational aspects of the basket CDS pricing with counterparty risk under a credit contagion model of multinames. This model enables us to capture the systematic volatility increases in the market triggered by a particular bankruptcy. The drawback of this problem is its analytical complication due to its path-dependent functional, which bears a potential failure in its convergence of numerical approximation under standing assumptions. In this paper we find sufficient conditions for the desired convergence by means of the weak convergence method to a class of path-dependent stochastic differential equations  .
We investigate the computational aspects of the basket CDS pricing with counterparty risk under a credit contagion model of multinames. This model enables us to capture the systematic volatility increases in the market triggered by a particular bankruptcy. The drawback of this problem is its analytical complication due to its path-dependent functional, which bears a potential failure in its convergence of numerical approximation under standing assumptions. In this paper we find sufficient conditions for the desired convergence of the functionals associated with a class of path-dependent stochastic differential equations . The main ingredient is to identify the weak convergence of the approximated solution to the underlying path-dependent stochastic differential equation .
R
by means of the weak convergence method to
of the functionals associated with
A
. The main ingredient is to identify the weak convergence of the approximated solution to the underlying path-dependent stochastic differential equation