Pricing for Credit Contingent Interest Rate Swap

doi:10.3969/j.issn.0253-374x.2011.02.027

Home > Archive>Volume 39, Issue 2, 2011 >299-303. DOI:10.3969/j.issn.0253-374x.2011.02.027

Pricing for Credit Contingent Interest Rate Swap
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                        10.3969/j.issn.0253-374x.2011.02.027
                    
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                        LIANG JinLIANG Jin
Department of Mathematics,Tongji University,Shanghai 200092,China
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XU YinXU Yin
Department of Mathematics,Tongji University,Shanghai 200092,China
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GUO GaoyueGUO Gaoyue
Department of Mathematics,Tongji University,Shanghai 200092,China
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Abstract:

A mathematical model was established for pricing the new credit derivativecredit contingent interest rate swap (CCIRS),and the PDE was obtained by the hedging method under the framework of reduced form.Both explicit and implicit difference methods under the upwind scheme were used to compute the price.Finally,parameters were analyzed and properties of the product were discussed.

Key words:credit contingent interest rate swap; reduced framework; CoxIngersollRoss model;numerical solution of parital differential equation

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LIANG Jin, XU Yin, GUO Gaoyue. Pricing for Credit Contingent Interest Rate Swap[J].同济大学学报(自然科学版),2011,39(2):299~303

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Received:October 16,2009
Revised:December 13,2010
Adopted:June 17,2010
Online: March 11,2011
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