信用違約互換及其期權(quán)的模型估值定價.pdf

1、上海大學碩士學位論文信用違約互換及其期權(quán)的模型估值定價姓名：汪義漢申請學位級別：碩士專業(yè)：運籌學與控制論指導教師：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