Total Return Swap Valuation with Counterparty Risk and Interest Rate Risk

Joint Authors

Wang, Anjiao
Ye, Zhongxing

Source

Abstract and Applied Analysis

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

Mathematics

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