國立虎尾科技大學 |

Mathematical analysis of credit default swaps.

Record Type:	Language materials, manuscript : Monograph/item
Title/Author:	Mathematical analysis of credit default swaps./
Author:	He, Peng.
Description:	1 online resource (70 pages)
Notes:	Source: Dissertation Abstracts International, Volume: 78-04(E), Section: B.
Contained By:	Dissertation Abstracts International78-04B(E).
Subject:	Mathematics. -
Online resource:	click for full text (PQDT)
ISBN:	9781369318395

Mathematical analysis of credit default swaps.
He, Peng.

Mathematical analysis of credit default swaps. - 1 online resource (70 pages)

Source: Dissertation Abstracts International, Volume: 78-04(E), Section: B.

Thesis (Ph.D.)

Includes bibliographical references

In this thesis, we establish a financial credit derivative pricing model for a credit default swap (CDS) contract which is subject to counterparty risks. A credit default swap is an agreement on exchange of cash flows between two parties, the buyer and the seller, about the occurrence of a credit event. The buyer makes a series of payments to the seller before the event and before the expiration date. The seller pays the buyer a fixed compensation at the moment when the event occurs, if it is before the expiry. The model arises a linear partial differential equation problem. We study this model, i.e. differential equation and show that a solution of the PDE problem from structure model can be obtained as the limit of a sequence of PDE problems which comes from intensity model. In addition, we study the infinite horizon problem of the pricing model which leads to a nonlinear ordinary differential equation problem. We obtain a implicit solution of the ODE problem and prove the solution can be converged by the solution of the PDE problem exponentially. Furthermore, the models and theoretical methods in this study get connected between two main risk frameworks: term structure model and intensity model, which greatly extend the area of applicability of structure models in financial problems. Moreover, We obtain the uniqueness, existence, and properties of the solutions of the PDE and ODE problems. Nevertheless, we implement numerical methods to calibrate the parameters of stochastic interest rate model and analyze the numerical solutions of the pricing model.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2018

Mode of access: World Wide Web

ISBN: 9781369318395Subjects--Topical Terms:

527692
Mathematics.
Index Terms--Genre/Form:

554714
Electronic books.

Mathematical analysis of credit default swaps.
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035 $a (MiAaPQ)AAI10183715
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099 $a TUL $f hyy $c available through World Wide Web
100 1 $a He, Peng. $3 1020322
245 1 0 $a Mathematical analysis of credit default swaps.
264 0 $c 2016
300 $a 1 online resource (70 pages)
336 $a text $b txt $2 rdacontent
337 $a computer $b c $2 rdamedia
338 $a online resource $b cr $2 rdacarrier
500 $a Source: Dissertation Abstracts International, Volume: 78-04(E), Section: B.
500 $a Adviser: Xinfu Chen.
502 $a Thesis (Ph.D.) $c University of Pittsburgh $d 2016.
504 $a Includes bibliographical references
520 $a In this thesis, we establish a financial credit derivative pricing model for a credit default swap (CDS) contract which is subject to counterparty risks. A credit default swap is an agreement on exchange of cash flows between two parties, the buyer and the seller, about the occurrence of a credit event. The buyer makes a series of payments to the seller before the event and before the expiration date. The seller pays the buyer a fixed compensation at the moment when the event occurs, if it is before the expiry. The model arises a linear partial differential equation problem. We study this model, i.e. differential equation and show that a solution of the PDE problem from structure model can be obtained as the limit of a sequence of PDE problems which comes from intensity model. In addition, we study the infinite horizon problem of the pricing model which leads to a nonlinear ordinary differential equation problem. We obtain a implicit solution of the ODE problem and prove the solution can be converged by the solution of the PDE problem exponentially. Furthermore, the models and theoretical methods in this study get connected between two main risk frameworks: term structure model and intensity model, which greatly extend the area of applicability of structure models in financial problems. Moreover, We obtain the uniqueness, existence, and properties of the solutions of the PDE and ODE problems. Nevertheless, we implement numerical methods to calibrate the parameters of stochastic interest rate model and analyze the numerical solutions of the pricing model.
520 $a Keywords: Structure model, counterparty risk, linear PDE, infinite horizon, numerical analysis.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2018
538 $a Mode of access: World Wide Web
650 4 $a Mathematics. $3 527692
650 4 $a Applied mathematics. $3 1069907
650 4 $a Finance. $3 559073
650 4 $a Theoretical mathematics. $3 1180455
655 7 $a Electronic books. $2 local $3 554714
690 $a 0405
690 $a 0364
690 $a 0508
690 $a 0642
710 2 $a ProQuest Information and Learning Co. $3 1178819
710 2 $a University of Pittsburgh. $b Mathematics. $3 1180539
773 0 $t Dissertation Abstracts International $g 78-04B(E).
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10183715 $z click for full text (PQDT)