| 基于分数维Vasicek利率模型的CDS定价 |
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| 引用本文： | 刘永辉,郝瑞丽,王守佰.基于分数维Vasicek利率模型的CDS定价[J].应用概率统计,2014,30(3):257-266. |
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| 作者姓名： | 刘永辉 郝瑞丽 王守佰 |
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| 作者单位： | 上海对外经贸大学商务信息学院, 复旦大学应用经济学博士后流动站, 上海金融学院应用数学系, 上海财经大学应用数学系 |
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| 摘 要： | 本文研究CDS的定价问题, 其中涉及到利率风险和传染风险.
文中用分数维Vasicek利率模型刻画利率风险, 对公司的违约强度进行建模,
给出了违约与利率相关时风险债券的价格, 并在此基础上得到CDS的价格.
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| 关 键 词： | 分数维Vasicek利率模型 风险债券 传染模型 CDS定价. |
Pricing CDS under Fractional Vasicek Interest Rate Model |
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| Liu Yonghui,Hao Ruili,Wang Shoubai.Pricing CDS under Fractional Vasicek Interest Rate Model[J].Chinese Journal of Applied Probability and Statisties,2014,30(3):257-266. |
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| Authors: | Liu Yonghui Hao Ruili Wang Shoubai |
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| Institution: | School of Business Information Management, Shanghai University of International Business and Economics; Post-Doctoral Station of Applied Economics, Fudan University; Department of Applied Mathematics, Shanghai Finance University; Department of Applied Mathematics, Shanghai University of Finance and Economics |
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| Abstract: | In this paper, the pricing problem of CDS with the interest
rate risk and contagious risk is investigated. The interest rate satisfies the fractional
Vasicek interest rate model. We model the firm's default intensity. We derive the pricing
formula of risky bonds when the default is correlated with interest rate and get the
price of CDS. |
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