{"title":"具有前瞻性利率的风险资产定价","authors":"C. Turfus","doi":"10.2139/ssrn.3713880","DOIUrl":null,"url":null,"abstract":"We extend the Hull-White short rate model to include the integrated short rate as a separate independent variable and incorporate credit default risk, governed by a Black-Karasinski model, into cash flows. We derive an analytic representation of the associated pricing kernel and apply it to the pricing of risky compounded interest rate payments, including with caps and floors. We illustrate our results numerically applying them to the pricing of extinguishing fix-float swaps.","PeriodicalId":209192,"journal":{"name":"ERN: Asset Pricing Models (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2020-10-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":"{\"title\":\"Risky Caplet Pricing with Backward-Looking Rates\",\"authors\":\"C. Turfus\",\"doi\":\"10.2139/ssrn.3713880\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We extend the Hull-White short rate model to include the integrated short rate as a separate independent variable and incorporate credit default risk, governed by a Black-Karasinski model, into cash flows. We derive an analytic representation of the associated pricing kernel and apply it to the pricing of risky compounded interest rate payments, including with caps and floors. We illustrate our results numerically applying them to the pricing of extinguishing fix-float swaps.\",\"PeriodicalId\":209192,\"journal\":{\"name\":\"ERN: Asset Pricing Models (Topic)\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2020-10-03\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"2\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Asset Pricing Models (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3713880\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Asset Pricing Models (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3713880","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
We extend the Hull-White short rate model to include the integrated short rate as a separate independent variable and incorporate credit default risk, governed by a Black-Karasinski model, into cash flows. We derive an analytic representation of the associated pricing kernel and apply it to the pricing of risky compounded interest rate payments, including with caps and floors. We illustrate our results numerically applying them to the pricing of extinguishing fix-float swaps.