约化模型下考虑流动性风险的公司债券定价  

Corporate bond pricing with liquidity risks in reduced-form model

作　　者：潘坚[1] 周香英[1] 罗兴钧[1] 

机构地区：[1]赣南师范学院数学与计算机科学学院,江西赣州341000

出　　处：《扬州大学学报（自然科学版）》2012年第2期24-28,共5页Journal of Yangzhou University：Natural Science Edition

基　　金：国家自然科学基金资助项目(11061001);江西省教育厅青年基金资助项目(GJJ10235)

摘　　要：在约化模型框架下,假设违约强度、随机利率和流动性风险均服从Hull-White模型,通过风险对冲方法推导出市值回收和面值回收情况下公司债券价格满足的偏微分方程定解问题,并求出封闭解.在此基础上,进一步考虑回收方式对公司债券信用利差的影响.Under the framework of reduced form, supposing that the default intensity, the stochas- tic rate and the process of liquidity risk are governed by the Hull-White model, a pricing model for the corporate bond is established by the hedging method and the closed form solution is also derived by means of partial differential equations methods. Afterwards, the influence of different recovery means on the credit spread of the corporate bond is considered.

关 键 词：约化模型 流动性风险 公司债券 偏微分方程方法 

分 类 号：O241.82[理学—计算数学] F830.91[理学—数学]