一篮子信用违约互换产品的定价问题研究  

Research on the Pricing of the Basket Credit Default Swap

作　　者：马俊美[1] 于昕立 

机构地区：[1]上海财经大学应用数学系,上海200433

出　　处：《数学计算（中英文版）》2013年第4期90-97,共8页Mathematical Computation

基　　金：基金资助：本文受国家自然科学基金（No：11226252）和上海市优秀青年基金资助项目（No：ZZCD12007）资助.

摘　　要：本文研究了随机利率模型下一篮子信用违约互换的定价问题。在约化法框架下，分别就无交易对手违约和有交易对手违约两种情形进行了讨论，并使用偏微分方程方法分别给出两种情形下定价问题的解析解，最后对数值结果进行了讨论和分析。The pricing of the basket credit default swap was studied under the assumption of stochastic interest model in this paper. Under the reduced model, by using PDE approach, the analytical solutions of the basket CDS were obtained with and without counterparty default risk, separately. Finally numerical results were illustrated and discussed.

关 键 词：信用违约互换 违约强度 交易对手违约 PDE 

分 类 号：O175.26[理学—数学]