利率带有跳跃情形下的信用衍生品定价研究  

Pricing credit derivatives with jumps in interest rates

作　　者：牛华伟[1,2] 

机构地区：[1]南京审计学院金融工程研究中心与金融学院,南京211815 [2]南京大学商学院,南京210093

出　　处：《管理科学学报》2014年第4期71-85,共15页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(71271042);江苏省高校哲学社会科学重点研究基地重大资助项目(2012JDXM009);南京审计学院人才引进资助项目

摘　　要：考虑作为风险因素的利率的跳跃,以研究信用衍生品的定价问题.通过影响信用衍生品参考债务实体违约概率相应的违约强度,利率的跳跃对信用衍生品的定价将产生影响.为此,令描述各个状态变量变化的随机过程是交叉激励的,以体现各事件之间的依赖关系.在线性—二次跳跃—扩散框架下给出了一般定价模型,并可通过Riccati方程组对其进行求解.最后,在特定的随机过程下,将所得定价模型应用在CDS上,并给出定价公式的显性表达式,以作举例.In this paper, we study the valuation of credit derivatives with jumps in interest rates and propose a general pricing model under the linear-quadratic jump-diffusion framework. Jumps in interest rates would in- fluence intensities of default times, which decide the default possibilities that determine the prices of credit de- rivatives. We let the components of linear-quadratic process be cross-exciting and facilitate the description of complex event dependence structures. To illustrate how our model works, we make an application on CDS un- der the specific underlying processes, and an explicit formula of the fair CDS spread can be obtained through a system of matrix Riccati equations.

关 键 词：信用衍生品 定价 利率 跳跃 违约强度 

分 类 号：F830.91[经济管理—金融学]