| 信用攸关的利率互换的定价 |
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| 引用本文： | 梁进,徐寅,郭高月.信用攸关的利率互换的定价[J].同济大学学报(自然科学版),2011,39(2):299-303. |
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| 作者姓名： | 梁进 徐寅 郭高月 |
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| 作者单位： | 同济大学,数学系,上海,200092 |
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| 基金项目： | 国家重点基础研究发展计划资助及项目2007CB814903 |
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| 摘 要： | 在约化方法的框架下,针对实务界出现的一种新型信用衍生产品--信用攸关的利率互换(credit contingentinterest rate swap,CCIRS),以偏微分方程(partial differentialequation,PDE)为方法,利用对冲原理建立了定价模型.之后分别利用显式和隐式差分对模型进行数...
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| 关 键 词： | 信用攸关的利率互换 约化方法 Cox-Ingersoll-Ross模型 偏微分方程数值解 |
| 收稿时间： | 2009/10/16 0:00:00 |
| 修稿时间： | 2010/12/13 0:00:00 |
Pricing for Credit Contingent Interest Rate Swap |
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| LIANG Jin,XU Yin and GUO Gaoyue.Pricing for Credit Contingent Interest Rate Swap[J].Journal of Tongji University(Natural Science),2011,39(2):299-303. |
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| Authors: | LIANG Jin XU Yin and GUO Gaoyue |
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| Institution: | Department of Mathematics,Tongji University,Shanghai 200092,China;Department of Mathematics,Tongji University,Shanghai 200092,China;Department of Mathematics,Tongji University,Shanghai 200092,China |
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| Abstract: | A mathematical model was established for pricing the new credit derivative-credit contingent interest rate swap(CCIRS),and the PDE was obtained by the hedging method under the framework of reduced form.Both explicit and implicit difference methods under the upwind scheme were used to compute the price.Finally,parameters were analyzed and properties of the product were discussed. |
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| Keywords: | credit contingent interest rate swap reduced framework Cox-Ingersoll-Ross model numerical solution of parital differential equation |
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