基于随机利率的可违约债券定价研究-金融数学专业论文.docxVIP

Abstract A Defaultable Bond of Corporation Pricing Under the Condition of Random Interest Rate A Defaultable Bond of Corporation Pricing Under the Condition of Random Interest Rate Abstract Credit risk management of financial derivatives is a hot issue in the field of today’s international financial. As the core of the financial derivatives, bond becomes the focus of theoretical research. Defaultable bond pricing is one of the most important topics to be solved. In this paper, we discussed the zero coupon corporation bonds and their derivatives pricing by using the reduced form model. Different from the former method in which the default process always follows the diffusion model, this article mainly has carried on the research work of the following two aspects: Firstly, by promoting Borovkov’s interest rate model with credit risk, we proposed an interest rate model based on a compound Cox point process model, assuming default intensity and stochastic interest rate are related. By using the special properties of the Laplace functional, we deduced a simple no-arbitrage price expression of the zero coupon bonds. Further more, we deduced the price of its derivatives under the same assumption. Secondly, We conclude by considering a special case of our model and use simulation techniques to verify the expression we obtained for the defaultable bond price. Numerical illustrations are presented by using Monte Carlo method. Key words Cox Process; Laplace functional; Bond pricing Written by: Liu Shasha Supervised by: Professor Wang Guojing II 目录 HYPERLINK \l _bookmark0 第一章 引言1 HYPERLINK \l _bookmark1 1.1 研究背景 1 HYPERLINK \l _bookmark2 1.2 文献概述 3 HYPERLINK \l _bookmark3 1.3 研究思路、创新点与结构安排 4 HYPERLINK \l _bookmark4 第二章 预备知识6 HYPERLINK \l _bookmark5 2.1 随机过程 6 HYPERLINK \l _bookmark6 2.2 Laplace 泛函 7 HYPERLINK \l _bookmark7 2.3 可违约权益 9 HYPERLINK \l _bookmark8 2.3.1 定义与框架构建 9 HYPERLINK \l _bookmark9 2.3.2 定价可违约债券 11 HYPERLINK \l _bookmark10 第三章 基于 Cox 过程的债券定价 14 HYPE