The Pricing of Corporate Bond with the Default Correlation  

作　　者：傅毅 张寄洲 王杨 

机构地区：[1]Department of Mathematics,Tongji University [2]College of Mathematics and Science,Shanghai Normal University

出　　处：《Journal of Donghua University(English Edition)》2012年第1期28-31,共4页东华大学学报（英文版）

基　　金：National Key Basic Research Program of China (973 program) (No. 2007CB814903);Shanghai Leading Academic Discipline Project,China ( No. S30405);the Research Program of Shanghai Normal University,China (No. SK201211)

摘　　要：The pricing of corporate bond with the default correlation was studied when the corporate holded the share of other corporates . On the basis of stochastic interest rate, the model of firm's bond with default correlation was established by means of reduced form and partial differential equations (PDE). Also, the close form formula for the pricing of the firm's bond was obtained. Finally, some numerical examples were given to illustrate how our models work.The pricing of corporate bond with the default correlation was studied when the corporate holded the share of other corporates. On the basis of stochastic interest rate, the model of firm＇s bond with default correlation was established by means of reduced form and partial differential equations （PDE）. Also, the close form formula for the pricing of the firm＇s bond was obtained. Finally, some numerical examples were given to illustrate how our models work.

关 键 词：partial differential EQUATIONS (PDE) DEFAULT correlation CORPORATE BOND 

分 类 号：O175.2[理学—数学]