一个利率互定价的新模型.pdfVIP

Submitted in total fulfilment of the requirements for the degree of Master in Mathematics A New Model Of Swap Pricing XU SHANG Supervisor: Prof. GUILAN WANG DEPART OF MATHMATICS , SCHOOL OF SCIENCE SHANGHAI JIAO TONG UNIVERSITY SHANGHAI , P.R.CHINA Jan. 15th, 2010 (2008)[13] (2008) — i — A New Model Of Swap Pricing ABSTRACT Interest rate swap is one of the most important tools in the capital market. It has the functions of price discovery, risk avoidance and asset allocation. The core of interest rate swap lies in how much the fixed interest payer should pay to the counter- party of the interest rate swap. It is a problem of interest rate swap pricing, while it reflects the market expectations of future interest rates. In this paper, we introduced the jump-diffusion model based on Shikai Liu(2008), and worked out the price of default-free interest rate swap, and calculated the value of the interest rate swap at any time. Then we defined the time when default occurred and found its distribution according to Shikai Liu(2008). After that, we assumed the change of cas