总收益互换定价  

Pricing of Total Return Swap

作　　者：叶中行[1,2] 庄瑞鑫[2,3] 

机构地区：[1]上海对外贸易学院商务信息学院,上海201620 [2]上海交通大学数学系,上海200240 [3]中国外汇交易中心,上海201203

出　　处：《应用概率统计》2012年第1期79-86,共8页Chinese Journal of Applied Probability and Statistics

基　　金：国家重点基础研究发展计划(973项目2007CB814903);国家自然科学基金(11171215);上海市高校085工程资助

摘　　要：本文讨论了信用衍生产品之一的总收益互换的定价问题.其中涉及到利率风险和违约风险,本文利用HJM利率模型来刻画利率风险,并利用强度模型和混合模型对违约风险进行建模.分别考虑了违约时间与利率无关时总收益互换合约的定价问题,以及违约时间与利率相关时总收益互换合约的定价问题,给出了相应的定价模型,并用蒙特卡罗模拟方法得到定价问题的数值解.This paper discusses the pricing of total return swap which is one of the credit derivatives. As the total return swap contracts are exposed to both interest rate risk and default risk, this paper characterizes the interest rate risk through HJM model. Intensity model and hybrid model are used to characterize the default risk and to derive the corresponding pricing formula for two cases when the default time and interest rate are independent or correlated, respectively. Monte Carlo simulation method is used here to derive the numerical solution of the pricing problem.

关 键 词：总收益互换 利率模型 强度模型 混合模型 违约风险 蒙特卡罗模拟 

分 类 号：O211.63[理学—概率论与数理统计] F830.9[理学—数学]