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随机违约强度下可展期公司债券的定价 被引量：2

The pricing of firm bonds with extendable maturity by the reduced form approach
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摘要 将公司债券发生违约事件与市场利率的变化联系起来,对可展期的公司债券进行定价.用约化模型处理企业违约风险,在随机利率下,用偏微分方程的方法给出了可展期的企业债券定价的公式,并讨论了它与普通企业债券在收益率上的差异. We associate credit events with market rates to price firm bonds with extendable maturity. We deal with the credit risk by the reduced form approach and obtain the pricing formula for firm bonds with extendable maturity by the PDE approach under the assumption of stochastic interest rate and compare its return rate with that of ordinary firm bonds.
作者 任学敏 施林嵩
机构地区 同济大学数学系
出处 《上海师范大学学报（自然科学版）》 2012年第5期449-453,共5页 Journal of Shanghai Normal University(Natural Sciences)
基金 国家社会科学基金项目(12BJY011)
关键词 可展期的企业债券 信用风险 约化方法 firm bond with extendable maturity credit risk reduced form
分类号 F830.9 [经济管理—金融学] O29 [理学—应用数学]
  • 相关文献

参考文献9

  • 1ME RTON R. On the pricing of corporate debt:the risk structure of interest rates [ J ]. Journal of Finance, 1974,29 (2) :449 - 470.
  • 2BLACK F, COX J C. Valuing corporate securities : some effects of bond indenture provisions [ J ]. Journal of Finance, 1976, 31(2) :351 -367.
  • 3LONGSTAFF F, SCHWARTZ E. A simple approach to valuing risky fixed and floating rate debt [ J ]. Journal of Finance, 1995,50(3 ) :789 - 819.
  • 4ZHOU C. The term structure of credit spreads with jump risk [ J ]. Journal of Banking and Finance ,2001,25 (l 1 ) :2015 - 2040.
  • 5JARROW R, TURNBULL S. Pricing derivatives on financial securities subject to credit risk [ J ]. Journal of Finance, 1995, 50(1) :50 -53.
  • 6DUFFIE D,SINGLETON K J. Modeling term structures of defauhable bonds [ J ]. Review of Financial Studies, 1999,12 (4) :687 -720.
  • 7任学敏,刘红梅.用约化方法对可展期的企业债券定价[J].同济大学学报（自然科学版）,2011,39(7):1088-1092. 被引量：2
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  • 9KAC M. On distributions of certain wiener functional [ J ]. Transactions of the American Mathematical Society, 1949,65 (1):1 -13.

二级参考文献8

  • 1Merton R. On the pricing of corporate debt: the risk structure of interest rates[J]. Journal of Finance, 1974,29 : 449.
  • 2Black F,Cox J C. Valuing corporate securities: some effects of bond indenture provisions[J]. Journal of Finance, 1976,31: 351.
  • 3Longstaff F, Schwartz E. A simple approach to valuing risky fixed and floating rate debt[J]. Journal of Finance, 1995,50:789.
  • 4Zhou C. A jump-diffusion approach to modeling credit risk and valuing defaultable securities[R]. Washington: Federal Reserve Board, 1997.
  • 5Jarrow R, Turnbull S. Pricing derivatives on financial securities subject to credit risk[J]. Journal of Finance, 1995,50: 53.
  • 6Jarrow R,Lando D, Turnbull S. A Markov model for the term structure of credit risk spreads [ J ]. Review of Financial Studies, 1997,10 : 481.
  • 7Duffie D, Singleton K J. Modeling term structure of defaultable bonds[J]. Review of Financial Studies, 1999,12: 687.
  • 8VasicekO. An equilibrium characterization of the term structure[J]. The Journal of Financial Economics, 1977,5 : 177.

共引文献1

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上海师范大学学报（自然科学版）
2012年 第5期

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