随机利率条件下信用风险债券价格及其衍生品价格研究

Research for Pricing Credit-risky Bonds and Their Derivatives under Stochastic Interest Rate

在新时代背景下,对金融发展的质量提出了新的要求,作为金融市场的重要组成部分,随着债券市场的不断创新和发展,关于债券产品及其衍生品的价值及定价问题显得尤为重要,基于此本文研究了信用风险债券的价值问题,为了使得信用风险债券及其衍生品的定价在市场上能更容易地实现和克服参数模型的参数误差问题,假设短期利率过程和可违约债券的违约强度过程均服从Hull-White模型,并且使两者的随机波动率之间具有非零相关系数,然后利用偏微分方程(PDE)得出信用债券价格的闭形式解。接着再以债券价格的解析式作为条件,并从风险中性测度变换到生存测度,得出以该债券为标的物的债券衍生品价格的闭形式解。

In the new era,there are some new requirements for The quality of financial development.As an important part of the financial market,with the continuous innovation and development of the bond market,the value and pricing of bond products and their derivatives are particularly important.Based on this paper,The paper the value of credit risk bonds is studied.The paper studied the value of credit bonds and the price of credit bonds.In order to make the pricing of the credit-risk of bonds and their derivatives in the market more easily to achieve and overcome the parameter errors of parameter model,assuming the stochastic dynamics of both the risk-free interest rate and the credit-spread are driven by two correlated Hull-White models,then get closed form solution of credit-risk bond prices by partial differential equations(PDE).Condition on the analytic formula of bond prices and transform the risk neutral measure to the survive measure,drawn the closed form solution for the price of the bond derivatives.