In this paper, we study the price of catastrophe Options with counterparty credit risk in a reduced form model. We assume that the loss process is generated by a doubly stochastic Poisson process, the share price proc...In this paper, we study the price of catastrophe Options with counterparty credit risk in a reduced form model. We assume that the loss process is generated by a doubly stochastic Poisson process, the share price process is modeled through a jump-diffusion process which is correlated to the loss process, the interest rate process and the default intensity process are modeled through the Vasicek model： We derive the closed form formulae for pricing catastrophe options in a reduced form model. Furthermore, we make some numerical analysis on the explicit formulae.展开更多
The northern Guangxi region is an important rare metal, rare earth metal and polymetallic metallogenic province. In the region there exist five metallogenic series and two metallogenic subseries, whose metallogenesis ...The northern Guangxi region is an important rare metal, rare earth metal and polymetallic metallogenic province. In the region there exist five metallogenic series and two metallogenic subseries, whose metallogenesis shows features of polycyclic spiral evolution throughout the geological history. As far as various cycles are concerned, mantle-derived ore substances were reduced while crust-derived ore substances increased from early to late timesfin the whole geological evolutionary history, mantle-derived substances decreased gradually while crust-derived ones increased. Meanwhile ore element associations became more and more varied. In terms of space, mineralization migrated from the old basement outwards, i.e. from west to east during the Precambrian, and from north to south during the Phanerozoic, and again from east to west during the Yanshanian.展开更多
基金supported by the National Natural Science Foundation of China(11371274)
文摘In this paper, we study the price of catastrophe Options with counterparty credit risk in a reduced form model. We assume that the loss process is generated by a doubly stochastic Poisson process, the share price process is modeled through a jump-diffusion process which is correlated to the loss process, the interest rate process and the default intensity process are modeled through the Vasicek model： We derive the closed form formulae for pricing catastrophe options in a reduced form model. Furthermore, we make some numerical analysis on the explicit formulae.
基金This research was supported by the Chinese Foundation for Development of Geological Science and Technology (Project 49273162)the National Natural Science Foundation of China(Project 49273162)
文摘The northern Guangxi region is an important rare metal, rare earth metal and polymetallic metallogenic province. In the region there exist five metallogenic series and two metallogenic subseries, whose metallogenesis shows features of polycyclic spiral evolution throughout the geological history. As far as various cycles are concerned, mantle-derived ore substances were reduced while crust-derived ore substances increased from early to late timesfin the whole geological evolutionary history, mantle-derived substances decreased gradually while crust-derived ones increased. Meanwhile ore element associations became more and more varied. In terms of space, mineralization migrated from the old basement outwards, i.e. from west to east during the Precambrian, and from north to south during the Phanerozoic, and again from east to west during the Yanshanian.
