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Pricing Defaultable Bonds with Multiscale Intensity Models

Author: SunZanZan
Tutor: LinJianZhong
School: Shanghai Jiaotong University
Course: Probability Theory and Mathematical Statistics
Keywords: Defaultable bonds The Vasicek Interest rate model Single scale intensity model Multiscale strength model progressive perturbation method estimated Empirical Analysis
CLC: F830.91
Type: Master's thesis
Year: 2011
Downloads: 59
Quote: 0
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Abstract


Stochastic volatility model inspired by the previous pricing This paper studies the multi-scale default intensity model can be defaulted bonds . Pricing of defaulted bonds involves interest rate risk and default risk , interest rate risk , Vasicek stochastic interest rate model . Default risk , the paper mainly do two of the following work : default intensity to create a single- scale model , the default intensity is a non - negative function on a fast mean reverting stochastic process , the use of the Feynman-kac theorem and perturbation method asymptotic estimates of approximate theoretical price of the bonds , the simulation results show that the single-scale intensity model is applicable to the study of the company 's short-term bonds . Default intensity the introduction of a slow change in the diffusion process , and that the establishment of multi-scale default intensity strength model , can push in a work based on the approximate theoretical prices of the defaulted bonds . And for China's bond market , the empirical analysis of multi-scale model . Vasicek interest rate model to estimate the parameters of the national debt data , respectively, to select a different credit rating companies , according to the data of the rate of return is estimated each corporate bond pricing model parameter values ??, and comparative study of the actual meaning .

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CLC: > Economic > Fiscal, monetary > Finance, banking > Finance, banking theory > Financial market > Securities market
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