Ӧ�ø���ͳ�� 2012, 28(3) 263-269 DOI:      ISSN: 1001-4268 CN: 31-1256

����Ŀ¼ | ����Ŀ¼ | ������� | �߼�����                                                            [��ӡ��ҳ]   [�ر�]
ѧ������
��չ����
������Ϣ
Supporting info
PDF(212KB)
[HTMLȫ��]
�����[PDF]
�����
�����뷴��
�ѱ����Ƽ�������
�����ҵ����
�������ù�����
����
Email Alert
���Ĺؼ����������
���������������
PubMed
ΥԼǿ����L'evy��������������Լ�����÷���ģ�ͼ�����ΥԼ�����Ķ���
������, ������
���ݴ�ѧ��ѧ��ѧѧԺ����ڹ����о�����
ժҪ��

��������һ��Լ�����÷���ģ��,
����ΥԼǿ�ȶ���Ϊ��������, ���Ǹ���L'evy����.
�ø��ʷ����õ���ΥԼʱ��ֲ��Ľ������ʽ. ���øý������ʽ,
�����˸����÷���ģ���µ�����ΥԼ����(Credit Default
Swaps)�ı���ʽ�Ķ��۹�ʽ.

�ؼ�����
The Fair Pricing of the Credit Default Swaps in a Intensity-Based Model Driven by Subordinator Processes
Hu Fengqing, Wang Guojing
Department of Mathematics and Center for Financial Engineering, Soochow University
Abstract:

For a reduced form model of credit risk,
we use Cox process whose intensity process is a subordinator process
to define the default time of the company. We derive closed forms of
the distribution of the company's default time. We also derive the
fair price of the defaultable zero coupon bond and the credit spread
of the credit default swaps.

Keywords:
�ո�����  �޻�����  ����淢������  
DOI:
������Ŀ:

ͨѶ����: ������
���߼��:
����Email:

�ο����ף�
�������������

Copyright by Ӧ�ø���ͳ��