The Study on the Pricing of Credit Risk under the Fast Stochastic Volatility

机译：快速随机波动下的信用风险定价研究

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This paper aims to study the risk aversion on valuing the single-name credit derivatives with the fast-scale stochastic volatility correction. Asymptotic approximation is applied to obtain the closed-form solution of the non-linear PDE, and comparison is made to show the utility before and after the stochastic volatility modification.

机译：本文旨在研究通过快速大规模随机波动校正对单名信用衍生品进行估值的风险规避。应用渐近逼近法获得非线性PDE的闭合形式解，并进行比较以显示随机波动率修改前后的效用。

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《International Conference on Identification, Information and Knowledge in the Internet of Things》|2016年|581-586|共6页
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Shican Liu; Xiangyu Ge;
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Stochastic processes; Numerical models; Pricing; Correlation; Economics; Investment;

机译：随机过程;数值模型;定价;相关性;经济学;投资;

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2. Bayesian Inference for a Structural Credit Risk Model with Stochastic Volatility and Stochastic Interest Rates [J] . Rodriguez Abel, Ter Horst Enrique, Malone Samuel Journal of Financial Econometrics . 2015,第4期

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3. LIQUIDITY RISK, CREDIT RISK AND THE OVERNIGHT INTEREST RATE SPREAD: A STOCHASTIC VOLATILITY MODELLING APPROACH [J] . JOHN BEIRNE, GUGLIELMO MARIA CAPORALE, NICOLA SPAGNOLO The Manchester school . 2013,第6期

机译：流动性风险，信用风险和隔夜利率蔓延：随机波动率建模方法
4. The Study on the Pricing of Credit Risk under the Fast Stochastic Volatility [C] . Shican Liu, Xiangyu Ge International Conference on Identification, Information and Knowledge in the Internet of Things . 2016

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5. Equilibrium market prices of risks and risk aversion in a complete stochastic volatility model with habit formation: Empirical risk aversion from S&P 500 index options. [D] . Han, Qian. 2010

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6. A general equilibrium approach to pricing volatility risk [O] . Jianlei Han, Martina Linnenluecke, Zhangxin Liu, 2012

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7. Pricing Basket of Credit Default Swaps and Collateralised Debt Obligation by Lévy Linearly Correlated, Stochastically Correlated, and Randomly Loaded Factor Copula Models and Evaluated by the Fast and Very Fast Fourier Transform [O] . Fadel Sayed Mohammed 2010

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The Study on the Pricing of Credit Risk under the Fast Stochastic Volatility

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