Applications of Gram-Charlier expansion and bond moments for pricing of interest rates and credit risk
Applications of Gram-Charlier expansion and bond moments for pricing of interest rates and credit risk
复制标题
DOI：
10.1080/14697680903193371
复制
发表时间：
2010-01-01
影响因子：
1.3
通讯作者：
Watanabe, Toshiaki
中科院分区：
文献类型：
--
作者：
Tanaka, Keiichi;Yamada, Takeshi;Watanabe, Toshiaki
本文的目的是证明强大的和灵活的适用性的Gram-Charlier扩展到各种各样的利率相关产品的定价，涉及利率风险和信用风险。在本文中，我们开发了几种衍生品的价格容易实现的近似值;互换，CMS，CMS期权和脆弱的选择。与违约风险相关联，生存条件远期措施的建设。
The purpose of this paper is to demonstrate the powerful and flexible applicability of the Gram-Charlier expansion to pricing of a wide variety of interest rate related products involving interest rate risk and credit risk. In this paper, we develop easily implemented approximations of the prices of several derivatives; swaptions, CMS, CMS options, and vulnerable options. Associated with the default risk, a survival contingent forward measure is constructed.