Title page for etd-0712105-165144


[Back to Results | New Search]

URN etd-0712105-165144
Author Chia-Cheng Kuo
Author's Email Address m9124602@student.nsysu.edu.tw
Statistics This thesis had been viewed 5120 times. Download 1157 times.
Department Applied Mathematics
Year 2004
Semester 2
Degree Master
Type of Document
Language zh-TW.Big5 Chinese
Title Pricing risky bonds under discrete time models
Date of Defense 2005-05-19
Page Count 48
Keyword
  • bond
  • AR(1) model
  • binomial tree model
  • Abstract Credit risk of derivative securities includes the risk of
    underlying company and the risk of seller's nonfulfilment of contracts. Take bonds for example, we regard Treasury bills as default-free bonds, and corporate bonds as risky bonds. When the liability of property of derivative securities underlying company is less than 1, we regard the company is of bankruptcy. And then the seller of derivative securities will break the contract.
    The essay extends two period risky bonds pricing valuation of Jarrow and Turnbull(1995) to multiperiod situation, and derive arbitrage-free condition. Furthermore, we derive formulae of risky bonds prices by assuming the logarithm of the odds ratio of an underlying company's bankruptcy probability satisfies an AR(1) or MA(1) processes. Empirical data of Rebar, Chinarebar, Ceon are studied, time series models are established for logarithm of odds
    ratios. In most cases, we find that the log odds ratios can be well fitted by AR(1) models.
    Advisory Committee
  • Mong-Na Lo Huang - chair
  • Fu-Chuen Chang - co-chair
  • Mei-Hui Guo - advisor
  • Files
  • etd-0712105-165144.pdf
  • indicate accessible in a year
    Date of Submission 2005-07-12

    [Back to Results | New Search]


    Browse | Search All Available ETDs

    If you have more questions or technical problems, please contact eThesys