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混合双分数布朗运动驱动的信用风险模型
  • ISSN号：1001-7011
  • 期刊名称：《黑龙江大学自然科学学报》
  • 时间：0
  • 分类：O211.6[理学—概率论与数理统计;理学—数学]
  • 作者机构：[1]东华大学应用数学系,上海201620, [2]芝加哥大学,芝加哥60637,美国
  • 相关基金：国家自然科学基金资助项目（11171062）;上海市教育委员会科研创新项目（12ZZ063）;国家大学生创新计划项目（101025502）
作者： 荆卉婷[1], 龚天杉[2], 牛娴[1], 许婧[1], 方圆[1], 沈祖梅[1], 闫理坦[1]
关键词： 信用风险, 混合双分数布朗运动, 公司违约概率, 票息债券价值, 股票价值, 信用价差, credit risk , mixed-bi-fractional Brownian motion , default probability , price of bonds , value of stocks , credit spreads
中文摘要：

介绍一种新的随机过程一混合双分数布朗运动，给出一些基本性质，并研究其在信用风险中的应用。在假设公司价值服从几何混合双分数布朗运动的情形下，分别研究违约概率、票息债券与股票的价值以及公司的信用价差，利用Matlable绘出各种情形下的图形，并对其进行了分析。

英文摘要：

A new stochastic process, i. e. , mixed-bi-fraetional Brownian motion, is defined, and its some basic properties and applications in credit risk are given. When assume that the value of the firm obeys to a geometric mixed-bi-fractional Brownian motion, default probability, pricing of bonds, values of stocks and credit spreads are derived. Figures are given by MATLAB to illustrate the effectiveness of the result.

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G-分数布朗运动与Hermite过程的分析及其相关问题
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期刊信息
  • 《黑龙江大学自然科学学报》
  • 北大核心期刊（2011版）
  • 主管单位:黑龙江省教育厅
  • 主办单位:黑龙江大学
  • 主编：霍丽华
  • 地址：哈尔滨市学府路74号
  • 邮编：150080
  • 邮箱：hdxb@vip.sohu.com
  • 电话：0451-86608818
  • 国际标准刊号：ISSN：1001-7011
  • 国内统一刊号：ISSN：23-1181/N
  • 邮发代号:14-114
  • 获奖情况:
  • 国内外数据库收录:
  • 美国化学文摘（网络版）,美国数学评论（网络版）,德国数学文摘,日本日本科学技术振兴机构数据库,中国中国科技核心期刊,中国北大核心期刊（2004版）,中国北大核心期刊（2008版）,中国北大核心期刊（2011版）,中国北大核心期刊（2014版）
  • 被引量:4204