信用攸关的利率互换的定价  

Pricing for Credit Contingent Interest Rate Swap

作　　者：梁进[1] 徐寅[1] 郭高月[1] 

机构地区：[1]同济大学数学系,上海200092

出　　处：《同济大学学报（自然科学版）》2011年第2期299-303,共5页Journal of Tongji University:Natural Science

基　　金：国家"九七三"重点基础研究发展计划(2007CB814903)

摘　　要：在约化方法的框架下,针对实务界出现的一种新型信用衍生产品——信用攸关的利率互换(credit contingent interest rate swap,CCIRS),以偏微分方程(partial differential equation,PDE)为方法,利用对冲原理建立了定价模型.之后分别利用显式和隐式差分对模型进行数值计算,得到了单名CCIRS的定价计算结果,并对定价函数的性质及其对参数的依赖关系进行了讨论.A mathematical model was established for pricing the new credit derivative-credit contingent interest rate swap（CCIRS）,and the PDE was obtained by the hedging method under the framework of reduced form.Both explicit and implicit difference methods under the upwind scheme were used to compute the price.Finally,parameters were analyzed and properties of the product were discussed.

关 键 词：信用攸关的利率互换 约化方法 Cox-Ingersoll-Ross模型 偏微分方程数值解 

分 类 号：F830.91[经济管理—金融学]