巨灾债券定价研.pdfVIP

第二章主要介绍一些基本理论和预备知识。 第三章是巨灾债券的设计与定价。本章主要引用两种经典的定价 机制，对于标的资产为巨灾风险指数的巨灾债券，假定其巨灾风险指 数服从一个跳跃的CEV过程，且结合利率服从CIR模型的假设，对 巨灾债券进行理论定价。对两种定价机制下得到特殊情形下巨灾债券 的解析解，对于一般情形得到了数值解，同时简要分析了影响这两种 巨灾债券价格的因素。 第四章，结论与展望。本章总结了全文的一些观点和结论，并对 未来巨灾债券的定价思路提出了自己的前进方向。 关键词：巨灾债券；泊松跳跃CEV过程；无套利定价 万方数据 THE PRICINGoFCATASTROPHEBONDS ABSTRACT bondsarethemost securitiesthat Catastrophe typicalspecialized increasethe ofinsurersto insurance while ability provide protection therisk transferringtoinvestorsaroundtheworldunderthe sharply decreaseofthe ofthe insurance．Chinaisone capacityglobalcatastrophe ofthe world’Scountries fromthemostseriousnaturaldisaster suffering losses．Andthe economic losseshas abadinfluenceto huge brought livesand ofthenational also people’S healthy development economy,and increase tremendoustothestate’Sfinancial．ButChinahasstill pressure notfundreasonable risk howto catastrophicresolvingsystem．Soprice the bonds isthehardest forthe catastrophecorrectly project researchers． Andit’S forthe reasonablefor bonds． meaningful pricingcatastrophe Basedonthe of bond modelwritten analysiscatastrophepricing by domest