存在對(duì)手違約風(fēng)險(xiǎn)的可違約債券的定價(jià).pdf

1、上海交通大學(xué)碩士學(xué)位論文存在對(duì)手違約風(fēng)險(xiǎn)的可違約債券的定價(jià)姓名：呂高鳳申請(qǐng)學(xué)位級(jí)別：碩士專業(yè)：應(yīng)用數(shù)學(xué)指導(dǎo)教師：王桂蘭200701015ThePricingofDefaultableSecuritieswithCounterpartyRiskABSTRACTAsweallknowthepricingmethodistheceofmodernfinancialthey.Manufacturerswillbankruptiftheymake

2、mistakesinpricingtheirfinancialproductsbecausethiswillinfluencethefinancialproducts’issuetrade.Therearemanymethodsfpricingfirms’bondssuchaspricingitaccdingtothemarketpriceetc.Everycountryespeciallythedevelopingcountriesp

3、aygreatattentiontotheproblemoffinancialrisksincetheSoutheastAsiafinancialcrisis.Withthedevelopingofeconomythecompletingofthemarkettheresearchofderivativeinthefinancialmarketisimproved.Itcanhelptheinvesttomakerightdecisio

4、niftheproblemsofpricinghedgingderivativearesolved.Thewholethesisconsistsoffivechapters.Inchapterone:firstlywediscussthehistythedevelopmentofdefaultablebonds’pricingthepresentconditions.Thenwediscusstheproblemwhichwillbes

5、olved.Inthefollowingchaptertwowediscussthebasicthreefactsinmodelingconstructionofdefaultprocesses.Themainwkisinchapterthreechapterfour.Inchapterthreewemainlyconcernwithpricingproblemofdefaultablebondsiftherearecrelatedde

6、faultriskunderthesedefaultisindependentofthedefaultfreetermstructure.WeuseCopulafunctiontodescribetherelationofdifferentcounterparties’defaulttimethengivethepricingfunctionsofthebonds.Inchapterfour:wemainlyconsiderpricin

7、gproblemofdefaultablebondswhendefaultiscrelatedwiththedefaultfreetermstructure.Weconsiderthepricingofthebondswhentherearemulticounterparties.Inchapterfive:weconcludethepapergivesomeproblemswhichneedtobediscussedinthefutu