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基于Affine强度的一般Poisson损失动态模型 被引量：2

Dynamical generalized-poisson loss model based on affine intensities
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摘要 首先介绍了GPL动态模型,然后引入Affine过程的概念,讨论随机强度是Affine过程时的GPL模型,并进一步讨论了如何求出随机过程的损失密度,从而得出CDO债券的价格. We firstly discuss GPL dynamical model, then introduce the concept of affine process, and study GPL model whose Poisson intensities is Affine process. Moreover, we work out loss density of the random process and therefore obtain the prices of the CDO tranches.
作者 韩丹 张效成
机构地区 南开大学数学科学学院
出处 《天津理工大学学报》 2007年第6期75-78,共4页 Journal of Tianjin University of Technology
关键词 GPL动态模型 POISSON过程 Affine过程 Affine强度 损失密度 GPL dynamical model Poisson process Affine process Affine intensities loss density
分类号 O29 [理学—应用数学]
  • 相关文献

参考文献9

  • 1[1]Moosbrucker T.Pricing CDOs with correlated variance gamma distributions[R].K(o)ln:Department of Banking of Cologne University,2006.
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同被引文献47

  • 1朱世武.基于Copula函数度量违约相关性[J].统计研究,2005,22(4):61-64. 被引量：24
  • 2梁世栋,郭仌,方兆本.随机违约强度下的信用风险期限结构研究[J].管理科学学报,2005,8(4):74-79. 被引量：13
  • 3吴恒煜,陈金贤.基于价格均值回复与随机波动率的信用差价衍生产品定价[J].经济数学,2006,23(3):267-273. 被引量：1
  • 4史永东、武军伟(2008).《基于Levy Copula的组合信用衍生品定价模型》,东北财经大学应用金融研究中心工作论文.
  • 5Azizpour, S. and Gieseeke, K. "Self - Exciting Corporate Default. " Standford University working paper, 2008.
  • 6Burtschell, X. ; Gregory, J. and Laurent, J. P. "A Comparative Analysis of CDO Pricing Models. " ISFA Actuarial School, University of Lyon & BNP Paribas, working paper, 2008.
  • 7Carr, P. and Wu, L. "Time - changed Levy Processes and Option Pricing. "Journal of Financial Economics, 2004, 71, pp. 113 - 141.
  • 8Cont, R. and Tankov, P. Financial Modelling with Jump Processes. Champman & Hall/CRC, 2004.
  • 9Crouhy, M. and Turnbull, S. M. "The Subprime Credit Crisis of 07. "Nauxis working paper, 2008.
  • 10Demarta, S. and Mcneil, A. J. "The t Copula and Related Copulas. "International Statistical Review, 2005, 73 ( 1 ), pp. 111 - 129.

引证文献2

二级引证文献6

天津理工大学学报
2007年 第6期

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