Applications of Gram-Charlier expansion and bond moments for pricing of interest rates and credit risk

被引：15
|
作者：
Tanaka, Keiichi [1 ]
Yamada, Takeshi [2 ]
Watanabe, Toshiaki [3 ]
机构：
[1] Tokyo Metropolitan Univ, Grad Sch Social Sci, Tokyo 158, Japan
[2] London Sch Econ & Polit Sci, Dept Stat, London, England
[3] Hitotsubashi Univ, Inst Econ Res, Tokyo, Japan
来源：
QUANTITATIVE FINANCE | 2010年 / 10卷 / 06期
关键词：
Swaption; CMS; Affine term structure model; Convexity adjustment; Credit derivative; Survival contingent measure; TERM STRUCTURE MODELS; SWAPTIONS; OPTIONS;
D O I：
10.1080/14697680903193371
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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.
引用
收藏
页码：645 / 662
页数：18
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