基于布朗運動的信用衍生產品定價問題研究
發(fā)布時間：2019-05-21 17:31
【摘要】：信用衍生產品的實質是轉移信用風險,其中信用違約互換和公司債是兩種常見的信用衍生產品.對信用衍生產品的研究主要是確定出其合理的價格,即定價方面的研究,其定價模型選擇的合理性直接影響到信用衍生產品轉移風險的有效性.因此,討論信用衍生產品的定價問題具有十分重要的意義. 本文主要以布朗運動為基礎,討論信用違約互換和公司債的定價問題,具體如下： 首先,簡要介紹了信用衍生產品概況、布朗運動、信用違約互換和公司債的國內外研究現狀. 其次,在公司負債隨機時,基于擴散過程討論了信用違約互換的定價問題.假設參考實體公司的資產價值和負債都服從幾何布朗運動,利用離散化方法和無套利原理給出了首次違約概率的隱式表達式和信用違約互換的價格公式. 接著,在跳躍擴散市場中,對信用違約互換進行定價.違約邊界的假定同第二章,但是假定公司資產價值服從雙指數跳躍擴散過程,利用Gaver-Stehfest算法和無套利原理解出了首次違約概率和信用違約互換的定價公式. 最后,基于Merton的思想和Baglioni and Cherubini(2005)的信號結構,討論非對稱信息條件下的公司債定價.建立了擴散模型和對數正態(tài)跳躍擴散模型,并采用概率方法和無套利原理給出了公司權益、公司負債和信用價差的表達式.
[Abstract]:The essence of credit derivatives is the transfer of credit risk, in which credit default swaps and corporate bonds are two common credit derivatives. The research on credit derivatives is mainly to determine its reasonable price, that is, the study of pricing. The rationality of its pricing model directly affects the effectiveness of the transfer risk of credit derivatives. Therefore, it is of great significance to discuss the pricing of credit derivatives. Based on Brownian motion, this paper discusses the pricing of credit default swaps and corporate bonds as follows: first of all, it briefly introduces the general situation of credit derivatives, Brownian movement. The research status of credit default swaps and corporate bonds at home and abroad. Secondly, the pricing problem of credit default swaps is discussed based on diffusion process when corporate liabilities are random. Assuming that the asset value and liability of the reference entity company are subject to geometric Brownian motion, the implicit expression of the first default probability and the price formula of the credit default swap are given by using the discretization method and the arbitrage principle. Then, in the jump diffusion market, credit default swaps are priced. The assumption of default boundary is the same as that in Chapter 2, but assuming that the value of corporate assets obeys the process of double exponential jump diffusion, the pricing formulas of first default probability and credit default swap are understood by using Gaver-Stehfest algorithm and arbitrage free source. Finally, based on the idea of Merton and the signal structure of Baglioni and Cherubini (2005), the pricing of corporate debt under the condition of asymmetric information is discussed. The diffusion model and lognormal jump diffusion model are established, and the expressions of equity, debt and credit spread are given by using probability method and no arbitrage principle.
【學位授予單位】：魯東大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.5;O211.6
本文編號：2482261
[Abstract]:The essence of credit derivatives is the transfer of credit risk, in which credit default swaps and corporate bonds are two common credit derivatives. The research on credit derivatives is mainly to determine its reasonable price, that is, the study of pricing. The rationality of its pricing model directly affects the effectiveness of the transfer risk of credit derivatives. Therefore, it is of great significance to discuss the pricing of credit derivatives. Based on Brownian motion, this paper discusses the pricing of credit default swaps and corporate bonds as follows: first of all, it briefly introduces the general situation of credit derivatives, Brownian movement. The research status of credit default swaps and corporate bonds at home and abroad. Secondly, the pricing problem of credit default swaps is discussed based on diffusion process when corporate liabilities are random. Assuming that the asset value and liability of the reference entity company are subject to geometric Brownian motion, the implicit expression of the first default probability and the price formula of the credit default swap are given by using the discretization method and the arbitrage principle. Then, in the jump diffusion market, credit default swaps are priced. The assumption of default boundary is the same as that in Chapter 2, but assuming that the value of corporate assets obeys the process of double exponential jump diffusion, the pricing formulas of first default probability and credit default swap are understood by using Gaver-Stehfest algorithm and arbitrage free source. Finally, based on the idea of Merton and the signal structure of Baglioni and Cherubini (2005), the pricing of corporate debt under the condition of asymmetric information is discussed. The diffusion model and lognormal jump diffusion model are established, and the expressions of equity, debt and credit spread are given by using probability method and no arbitrage principle.
【學位授予單位】：魯東大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.5;O211.6
【參考文獻】
相關期刊論文 前10條
1 譚敬亭;新興的信用衍生產品市場——開辟信用風險管理的新領域[J];財經科學;2002年S1期
2 歐陽異能;徐云;;隨機負債情形的信用違約互換定價[J];工程數學學報;2010年04期
3 王瓊,陳金賢;基于跳-擴散過程的信用違約互換定價模型[J];系統(tǒng)工程;2003年05期
4 馬曉軍;信用衍生產品市場的發(fā)展及展望[J];國際金融研究;2000年11期
5 周鵬;梁進;;信用違約互換的定價方法[J];高校應用數學學報A輯;2007年03期
6 于薈楠;信用風險管理新技術──信用衍生產品[J];經濟問題探索;2000年02期
7 孫曉靚;蔡琦瑋;;信用違約互換應用與我國商業(yè)銀行信用風險控制[J];全國商情(經濟理論研究);2006年04期
8 馮謙;楊朝軍;;信用違約互換與我國金融結構良性變遷[J];上海金融;2006年09期
9 齊延信;吳祈宗;;雙指數跳擴散模型信用違約互換短期價格研究[J];數學的實踐與認識;2007年02期
10 王保合,李時銀;一類重隨機Poisson過程在信用風險定價模型中的應用[J];數學研究;2003年02期
，本文編號：2482261
本文鏈接：http://sikaile.net/jingjilunwen/zbyz/2482261.html
