| 一个多因子信用违约互换定价模型 |
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| 引用本文： | 田明,伍舟宏,洪银萍.一个多因子信用违约互换定价模型[J].数学的实践与认识,2008,38(23). |
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| 作者姓名： | 田明 伍舟宏 洪银萍 |
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| 作者单位： | 1. 上海工程技术大学,基础教学学院,上海,201620
2. 申银万国证券,研究发展中心,上海,200031 |
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| 基金项目： | 上海市高校选拔培养优秀青年教师专项基金
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| 摘 要： | 考虑一个违约互换的多因子的简化模型,通过测度的转化并求解一个多变量Riccati常微分方程而得出了这个模型的解析解.此模型是Duffie-Pan-Singleton(2000)模型的特例,但是这个模型存在解析解,而Duffie-Pan-Singleton模型并不存在解析解.模型的解析解对获得直觉的判断和进行模型的计算都非常有帮助,而且模型的解析解对实证检验也是有帮助的.
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| 关 键 词： | 信用违约互换 违约强度 Riccati方程 违约互换差价 |
An Multi-Factor Model for Credit Default Swap Pricing |
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| TIAN Ming,WU Zhou-hong,HONG Yin-ping.An Multi-Factor Model for Credit Default Swap Pricing[J].Mathematics in Practice and Theory,2008,38(23). |
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| Authors: | TIAN Ming WU Zhou-hong HONG Yin-ping |
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| Institution: | 1.College of Fundamental Studies;Shanghai University of Engineering Science;Shanghai 201620;China;2.Center of Development;SHENYIN & WANGUO SECURITIES CO.;LTD.;Shanghai 200031;China |
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| Abstract: | In this paper we consider a multi-factor model for credit default swap pricing.By using the change of measure and solving a Riccati equation,we can attain an analytical solution. In fact,our model is a special case of the Duffie-Pan-Singleton(2000)model,but the solution is analytical against Duffle-Pan-Singleton model.The benefit of the analytical solution is helpful in gaining the intuition and the computing,what's more,it is beneficial to empirical study. |
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| Keywords: | Credit default Swap Default intensity Riccati equation Default swap spread |
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