马尔科夫调制跳扩散模型下可违约零息债券的价格及公平保费-金融数学专业毕业论文.docxVIP

II II Abstract Pricing the zero-coupon bond and its fair premium under Markov-modulated jump-diffusion models Pricing the zero-coupon bond and its fair premium under Markov-modulated jump-diffusion models Abstract The paper makes a quantitative analysis of default risk under the jump-diffusion models. Different from the common used model, we introduce an economic state variable in this model, which is described by a Markov chain. Thus we propose a default intensity processes with regime switching. Under the two-sided jump-diffusion models, where the macroeconomic environment is taken into account, using the Markov property, we give the integro-differential equations for the Laplace transform of default time and the firm’s expected present market value at default. Specially, closed form expressions for them are obtained when the jumps have a symmetry-exponential distribution. Hence, we could obtain the numerical solutions of different economic states for the default probability, the price and the premium of the defaultable zero-coupon bond by inverting those closed form expressions. In the end, by comparing with the no-regime-switching case, we analyze the impact of economic environment on the pricing. Keywords: jump-diffusion model; regime-switching; default probability; laplace transform; defaultable zero-coupon bond; credit default swap Written by Zhou Jun Supervised by Prof. Wang Guojing 目 录 第一章 引言1 第二章 可违约零息债券的价格和公平保费5 2.1 模型介绍5 2.2 违约概率6 2.3 可违约零息债券与信用违约互换的定价6 2.4 拉普拉斯变换9 第三章 具体实例15 3.1 指数分布下的拉普拉斯变换15 3.2 数值计算22 第四章 结 论27 参考文献28 致 谢30 PAGE PAGE 1 马尔科夫调制跳扩散模型下可违约零息债券的价格及公平保费 第一章 引言 第一章 引言 金融风险不仅对一个国家的经济发展和宏观经济决策有重要的影响，而且对全球 经济的稳定与发展至关重要.例如，20 世纪 80 年代末的美国由于经营不善，在短短三 年时间内就有 388 家银行倒闭，债务违约率的升高，使信贷资产质量下降，从而最终 导致储蓄与贷款机构的大批破产，世界各地的金融机构也都遭受到了前所未有的重 创．同样，2007 年美国次贷危机对全球金融市场也造成了许多不良后果，许多学者 认为 2007 年次贷危机的爆发也就是“信用风险”的爆发． 信用风险是最主要的金融风险.所谓信用风险，又称违约风险，是指借款人、证券 发行人或交易对方因种种原因，不愿或因无力履行契约中约定的义务，而致使银行、 投资者或交易方遭受损失的可能性．更一般的，信用风险还包括由于借款人信用评级 或履约能力的下降导致市场价值发生变动而引起损失的可能性．信用风