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| 基于考克斯过程的信用违约互换定价 | |
| 引用本文： | 高继梅,张爱真,周文.基于考克斯过程的信用违约互换定价[J].周口师范学院学报,2007,24(5):46-48. |
| 作者姓名： | 高继梅 张爱真 周文 |
| 作者单位： | 1. 周口师范学院,数学系,河南,周口,466001 2. 周口职业技术学院,机电工程系,河南周口,466001 3. 华中科技大学 数学系 湖北 武汉 430074 |
| 摘 要： | 用考克斯过程来描述违约过程，在假设市场风险和信用风险线性相关的前提下，研究了信用违约互换价差的估值问题. |
| 关 键 词： | 考克斯过程 信用违约互换 溢金 |
| 文章编号： | 1671-9476（2007）05-0046-03 |
| 修稿时间： | 2007-05-25 |
The voluation of the credit default swap based on Cox process |
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| GAO Ji-mei,ZHANG Ai-zhen,ZHOU Wen.The voluation of the credit default swap based on Cox process[J].Journal of Zhoukou Normal University,2007,24(5):46-48. | |
| Authors: | GAO Ji-mei ZHANG Ai-zhen ZHOU Wen |
| Institution: | 1. Department of Mathematics,Zhoukou Normal University,Zhoukou 466001; 2. Department of Mechanical and electrical,Zhoukou Professional Technique College,Zhoukou 466001; 3. Department of Mathematics,Huazhong University of Science and Technology,Wuhan 430074,China |
| Abstract: | Applying Cox process to describe the process of noncompliance , the valuation issue of credit default swap is studied under the hypothesis that the market risk is correlated with credit linearly. |
| Keywords: | Cox process credit default swap premum |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ | |