基于布朗运动的信用衍生产品定价问题研究
发布时间：2019-05-21 17:31
【摘要】：信用衍生产品的实质是转移信用风险,其中信用违约互换和公司债是两种常见的信用衍生产品.对信用衍生产品的研究主要是确定出其合理的价格,即定价方面的研究,其定价模型选择的合理性直接影响到信用衍生产品转移风险的有效性.因此,讨论信用衍生产品的定价问题具有十分重要的意义. 本文主要以布朗运动为基础,讨论信用违约互换和公司债的定价问题,具体如下： 首先,简要介绍了信用衍生产品概况、布朗运动、信用违约互换和公司债的国内外研究现状. 其次,在公司负债随机时,基于扩散过程讨论了信用违约互换的定价问题.假设参考实体公司的资产价值和负债都服从几何布朗运动,利用离散化方法和无套利原理给出了首次违约概率的隐式表达式和信用违约互换的价格公式. 接着,在跳跃扩散市场中,对信用违约互换进行定价.违约边界的假定同第二章,但是假定公司资产价值服从双指数跳跃扩散过程,利用Gaver-Stehfest算法和无套利原理解出了首次违约概率和信用违约互换的定价公式. 最后,基于Merton的思想和Baglioni and Cherubini(2005)的信号结构,讨论非对称信息条件下的公司债定价.建立了扩散模型和对数正态跳跃扩散模型,并采用概率方法和无套利原理给出了公司权益、公司负债和信用价差的表达式.
[Abstract]:The essence of credit derivatives is the transfer of credit risk, in which credit default swaps and corporate bonds are two common credit derivatives. The research on credit derivatives is mainly to determine its reasonable price, that is, the study of pricing. The rationality of its pricing model directly affects the effectiveness of the transfer risk of credit derivatives. Therefore, it is of great significance to discuss the pricing of credit derivatives. Based on Brownian motion, this paper discusses the pricing of credit default swaps and corporate bonds as follows: first of all, it briefly introduces the general situation of credit derivatives, Brownian movement. The research status of credit default swaps and corporate bonds at home and abroad. Secondly, the pricing problem of credit default swaps is discussed based on diffusion process when corporate liabilities are random. Assuming that the asset value and liability of the reference entity company are subject to geometric Brownian motion, the implicit expression of the first default probability and the price formula of the credit default swap are given by using the discretization method and the arbitrage principle. Then, in the jump diffusion market, credit default swaps are priced. The assumption of default boundary is the same as that in Chapter 2, but assuming that the value of corporate assets obeys the process of double exponential jump diffusion, the pricing formulas of first default probability and credit default swap are understood by using Gaver-Stehfest algorithm and arbitrage free source. Finally, based on the idea of Merton and the signal structure of Baglioni and Cherubini (2005), the pricing of corporate debt under the condition of asymmetric information is discussed. The diffusion model and lognormal jump diffusion model are established, and the expressions of equity, debt and credit spread are given by using probability method and no arbitrage principle.
【学位授予单位】：鲁东大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.5;O211.6
本文编号：2482261
[Abstract]:The essence of credit derivatives is the transfer of credit risk, in which credit default swaps and corporate bonds are two common credit derivatives. The research on credit derivatives is mainly to determine its reasonable price, that is, the study of pricing. The rationality of its pricing model directly affects the effectiveness of the transfer risk of credit derivatives. Therefore, it is of great significance to discuss the pricing of credit derivatives. Based on Brownian motion, this paper discusses the pricing of credit default swaps and corporate bonds as follows: first of all, it briefly introduces the general situation of credit derivatives, Brownian movement. The research status of credit default swaps and corporate bonds at home and abroad. Secondly, the pricing problem of credit default swaps is discussed based on diffusion process when corporate liabilities are random. Assuming that the asset value and liability of the reference entity company are subject to geometric Brownian motion, the implicit expression of the first default probability and the price formula of the credit default swap are given by using the discretization method and the arbitrage principle. Then, in the jump diffusion market, credit default swaps are priced. The assumption of default boundary is the same as that in Chapter 2, but assuming that the value of corporate assets obeys the process of double exponential jump diffusion, the pricing formulas of first default probability and credit default swap are understood by using Gaver-Stehfest algorithm and arbitrage free source. Finally, based on the idea of Merton and the signal structure of Baglioni and Cherubini (2005), the pricing of corporate debt under the condition of asymmetric information is discussed. The diffusion model and lognormal jump diffusion model are established, and the expressions of equity, debt and credit spread are given by using probability method and no arbitrage principle.
【学位授予单位】：鲁东大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.5;O211.6
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