Structural jump-diffusion model for pricing collateralized debt obligations tranches  

作　　者：YANG Rui-cheng 

机构地区：[1]School of Mathematics and Information, Ludong University, Yantai 264025, China

出　　处：《Applied Mathematics(A Journal of Chinese Universities)》2010年第4期420-428,共9页高校应用数学学报（英文版）（B辑）

基　　金：Supported by the National Natural Science Foundation of China (70771018);the Natural Science Foundation of Shandong Province (2009ZRB019AV);Mathematical Subject Construction Funds and the Key Laboratory of Financial Information Engineering of Ludong University (2008)

摘　　要：This paper considers the pricing problem of collateralized debt obligations tranches under a structural jump-diffusion model, where the asset value of each reference entity is generated by a geometric Brownian motion and jump with an asymmetric double exponential distribution. Conditioned on the common factor of individual entity, this paper gets the conditional distribution, and further obtains the loss distribution of the whole reference portfolio. Based on the semi-analytic approach, the fair spreads of collateralized debt obligations tranches, i.e., the prices of collateralized debt obligations tranches, are derived.This paper considers the pricing problem of collateralized debt obligations tranches under a structural jump-diffusion model, where the asset value of each reference entity is generated by a geometric Brownian motion and jump with an asymmetric double exponential distribution. Conditioned on the common factor of individual entity, this paper gets the conditional distribution, and further obtains the loss distribution of the whole reference portfolio. Based on the semi-analytic approach, the fair spreads of collateralized debt obligations tranches, i.e., the prices of collateralized debt obligations tranches, are derived.

关 键 词：Structural jump-ditlusion model Brownian motion asymmetric double exponential distribution collateralized debt obligations loss distribution 

分 类 号：O211.6[理学—概率论与数理统计] F832.5[理学—数学]