The Pricing Reserch Of Corporate Bond Of The Exponet O-U And Com Pound Poisson Jump Diffusion- Process

Along with the development of financial markets,the bond financing gets more and more people’s attention, the pricing of bond’s theory is very important for the study of the bond itself and in the practical application of them. The accurate pricing is advantageous to make that enterprise according to the terms of their own characteristics make the developed targets to achieve the purpose of reduce the cost of financing and expand the scale of financing; It make investors recognize risks and investment value of bond, to make the right investment decisions, etc.;So a reasonable reasonable prices for bonds can meet the respective needs of the companies and investors; What is more important, China’s bond market healthy development is inseparable from the reasonable pricing for bonds; therefore, a reasonable pricing is very important for bonds.In Merton model,structured model,simplified model,double exponential jump diffusio-n model, etc.on the basis of predecessors’ research, this paper mainly studies the following contents:The first part:this paper mainly studies the pricing of corporate bond under the index of o-u process and the index of o-u process of the stochastic interest rate, when the default is constant,no arbitrage principle is used to establish that the company’s equity value and the value of their bonds meet the partial differential equation, and using the transformation deduced the pricing formula of the corporate bond.The second part,:this paper mainly studies the pricing of corporate bond under the of general index of o-u process, when the process of company’s assets value and liability value are independent of each other and are subject to the generalized index of o-u process,and there is a default event in the maturity date, this paper mainly using the actuarial method studies the pricing formula of corporate bonds.The third part:this paper mainly studies the pricing of corporate bond under the compound Poisson jump-diffusion process,when the process of company’s assets value and liability value are independent of each other and are subject to the compound Poisson jump-diffusion process, and there is a default event in the maturity date, this paper mainly using the actuarial method studies the pricing formula of corporate bonds.