| 具可料和不可料违约的公司债券定价 |
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| 引用本文： | 毕玉升,边保军.具可料和不可料违约的公司债券定价[J].同济大学学报(自然科学版),2007,35(7):989-993. |
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| 作者姓名： | 毕玉升 边保军 |
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| 作者单位： | 1. 同济大学,经济与管理学院,上海,200092
2. 同济大学,数学系,上海,200092 |
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| 摘 要： | 研究公司可同时出现可料和不可料违约时，债券的定价问题．这里可料违约是指公司资产碰到预定破产边界，不可料违约是外在跳过程发生首次跳．结合结构化方法和约化方法，讨论公司债券价格满足的偏微分方程，通过计价单位变换，将偏微分方程降维，求得债券价格的显式解．同时研究信用利差的性质．假设瞬时利率和危险率分别服从Vasicek和Cox-Ingersoll-Ross（CIR）扩散模型．
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| 关 键 词： | 公司债券 危险率 信用利差 偏微分方程 |
| 文章编号： | 0253-374X（2007）07-0989-05 |
| 修稿时间： | 2005-10-28 |
Pricing Corporate Bonds with Both Expected and Unexpected Defaults |
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| BI Yusheng,BIAN Baojun.Pricing Corporate Bonds with Both Expected and Unexpected Defaults[J].Journal of Tongji University(Natural Science),2007,35(7):989-993. |
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| Authors: | BI Yusheng BIAN Baojun |
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| Institution: | 1. School of Economics and Management, Tongji University, Shanghai 200092, China; 2. Department of Mathematics, Tonal University, Shanghai 200092, China |
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| Abstract: | This paper presents a model for pricing the bonds issued by a firm which may default in an expected or unexpected way,i.e.,the value of the firm's assets hits a threshold or an exogenous default process jumps for the first time.With the structural and reduced form approaches,the dimension of the partial differential equation(PDE) followed by the bond price can be reduced and a closed form solution by changing numeraire can be obtained.Credit spread is also analyzed on the basis of the solution.The spot interest rate and hazard rate are assumed to follow Vasicek and Cox-Ingersoll-Ross(CIR) models respectively. |
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| Keywords: | corporate bond hazard rate credit spread partial differential equation |
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