| 一篮子信用违约互换定价的偏微分方程方法 |
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| 引用本文： | 马俊美,梁进.一篮子信用违约互换定价的偏微分方程方法[J].高校应用数学学报(A辑),2008,23(4). |
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| 作者姓名： | 马俊美 梁进 |
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| 作者单位： | 同济大学,应用数学系,上海,200092 |
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| 基金项目： | 国家重点基础研究发展计划(973计划)子课题:信用风险分析和信用衍生产品定价项目
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| 摘 要： | 通过对一篮子信用违约互换的结构性分析,在约化法框架下,用PDE方法提出一个新的计算具有违约相关性的多个公司联合生存概率的方法,在此基础上得到信用互换到期之前一篮子中违约数量的概率分布.应用这个概率分布,在条件独立的假定下,先后建立了首次违约、二次违约的信用违约互换定价模型,并用PDE方法给出了定价的显性表达式,并进一步扩展到解决m次违约的信用违约互换的定价问题.
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| 关 键 词： | 联合生存概率 违约强度 信用违约互换 一篮子CDS |
Valuation of basket credit default swaps by partial differential equation method |
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| MA Jun-mei,LIANG Jin.Valuation of basket credit default swaps by partial differential equation method[J].Applied Mathematics A Journal of Chinese Universities,2008,23(4). |
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| Authors: | MA Jun-mei LIANG Jin |
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| Abstract: | Under the reduced model structure and by using PDE approach,a new method for calculating joint survival probability is attained.Then pricing models for first,second and mth to default basket CDS are established based on the probability distribution of defaults before the maturity. And the closed form solutions for the valuation of these CDS are obtained. |
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| Keywords: | PDE |
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