信用違約互換及其期權(quán)的模型估值定價.pdf

1、上海大學(xué)碩士學(xué)位論文信用違約互換及其期權(quán)的模型估值定價姓名：汪義漢申請學(xué)位級別：碩士專業(yè)：運(yùn)籌學(xué)與控制論指導(dǎo)教師：周盛凡20050501ABSTRACTCreditdefaultswapshavebecomeincreasinglypopularbymar—ketparticipatorsinrecentyearsAndnowmanyfinancialscholarsandfinancialengineershavecarriedout

2、theoreticalresearchandprac—riceapplicationforthemInthispaper，wearemainlytovaluecreditdefaultswap(CI)S)witheounterpartydefaultriskandCDSoptionthroughtwokindsofmodelsrespectivelyFirstlywesetupamath—ematicalmodelfordefaulta

3、ndinformationfrombasicmethodologytounderlyingsecuritiessubjecttocreditdefaultriskThen，weob—tainanexpressionforcalculatingriskneutraldefaultprobabilityinstructuralapproach，Ontheotherhandwediscussamethodofst&tistica]analys

4、isofreliabilityintroducedinteduced—formapproachsuchthat，valuingdefaultablesecuritiessimilartodefault—freesecuri—tiesSecondly，weadoptaGaussiantermstructuremodelandajump—diffusionmodelforvaluingCDSthattakesaccountofcounter

5、partydefaultriskandCDSoptionrespectivelyAndweobtainanalyticexpressionsofthevaluationformulasthatbased0nBlackScholesforInulaThismodelsandmethodologiesarefitformarketpriceanalysisunderincompleteinformationandaccordwiththen