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本文利用传染模型研究了可违约债券和含有对手风险的信用违约互换的定价。我们在约化模型中引入具有违约相关性的传染模型,该模型假设违约过程的强度依赖于由随机微分方程驱动的随机利率过程和交易对手的违约过程.本文模型可视为Jarrow和Yu(2001)及Hao和Ye(2011)中模型的推广.进一步地,我们利用随机指数的性质导出了可违约债券和含有对手风险的信用违约互换的定价公式并进行了数值分析.
In this paper, the contagion model is used to study the pricing of defaultable bonds and credit default swaps with counterparty risks. We introduce a model of contagion with default correlation in the reduced model, which assumes that the intensity of the default process depends on the stochastic differential equation-driven stochastic interest rate process and the counterparty default process. This model can be considered as Jarrow and Yu (2001 ) And Hao and Ye (2011) .Furthermore, by using the properties of stochastic indices, we derive the pricing formulas of defaultable bonds and credit default swaps with counterparty risk and conduct numerical analysis.