Total Return Swap Valuation with Counterparty Risk and Interest Rate Risk
Joint Authors
Source
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-12, 12 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-05-28
Country of Publication
Egypt
No. of Pages
12
Main Subjects
Abstract EN
We study the pricing of total return swap (TRS) under the contagion models with counterparty risk and the interest rate risk.
We assume that interest rate follows Heath-Jarrow-Morton (HJM) forward interest rate model and obtain the Libor market interest rate.
The cases where default is related to the interest rate and independent of interest rate are considered.
Using the methods of change of measure and the “total hazard construction,” the joint default probabilities are obtained.
Furthermore, we obtain the closed-form formulas of TRS under different contagion models, respectively.
American Psychological Association (APA)
Wang, Anjiao& Ye, Zhongxing. 2014. Total Return Swap Valuation with Counterparty Risk and Interest Rate Risk. Abstract and Applied Analysis،Vol. 2014, no. 2014, pp.1-12.
https://search.emarefa.net/detail/BIM-1013886
Modern Language Association (MLA)
Wang, Anjiao& Ye, Zhongxing. Total Return Swap Valuation with Counterparty Risk and Interest Rate Risk. Abstract and Applied Analysis No. 2014 (2014), pp.1-12.
https://search.emarefa.net/detail/BIM-1013886
American Medical Association (AMA)
Wang, Anjiao& Ye, Zhongxing. Total Return Swap Valuation with Counterparty Risk and Interest Rate Risk. Abstract and Applied Analysis. 2014. Vol. 2014, no. 2014, pp.1-12.
https://search.emarefa.net/detail/BIM-1013886
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1013886