Study On The Pricing Of Credit Default Swap

This thesis focuses on the pricing of credit default swap(CDS). The CDS is one ofthe most basic kind of credit derivatives , and the study on its pricing is fundamental.In this thesis, the main results are obtained with the intensity-based approach of defaultevent modeling.First, the credit spread based Heath Jarrow Morton type model originated byBielecki and Rutkowski is extended by considering the jump risk in defaultable termstructure. With non-arbitrage pricing principle and Ito formula for Levy stochasticintegral process, some similar results are obtained as compared to the original model.The credit spread is solved from the defautable term structure, which is proved to bethe default intensity for some defautable bond.Second, the primary-secondary credit risk contagious model developed by Haoand Ye, which is based on Jarrow's work, is extended by adding a hyperbolic attenua-tion effect. We obtain one explicit solution for CDS credit spread in this new setting.Meanwhile, we make use of Monte-Carlos simulation to conduct the calculation ofCDS spread, with the risk free rate driven by a jump-diffusion process. The algorithmand some examples of calculation are given.