Credit Derivatives Pricing Based on Levy Field Driven Term Structure

被引：1
|
作者：
Bo, Lijun [1 ]
Jiao, Ying [2 ]
Yang, Xuewei [3 ]
机构：
[1] Xidian Univ, Dept Math, Xian, Peoples R China
[2] Univ Lyon 1, ISFA, F-69007 Lyon, France
[3] Nanjing Univ, Sch Management & Engn, Nanjing 210008, Jiangsu, Peoples R China
来源：
STOCHASTIC ANALYSIS AND APPLICATIONS | 2014年 / 32卷 / 02期
关键词：
Credit term structure and derivatives pricing; Levy random field; Parabolic integro-differential equation; STRUCTURE MODELS DRIVEN; INTEREST-RATES;
D O I：
10.1080/07362994.2014.858533
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
We use Levy random fields to model the term structure of forward default intensity, which allows to describe the contagion risks. We consider the pricing of credit derivatives, notably of defaultable bonds in our model. The main result is to prove the pricing kernel as the unique solution of a parabolic integro-differential equation by constructing a suitable contractible operator and then considering the limit case for an unbounded terminal condition. Finally, we illustrate the impact of contagious jump risks on the defaultable bond price by numerical examples.
引用
收藏
页码：229 / 252
页数：24
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