Pricing Of Multiple Counterparty Credit Default Swaps

This thesis focuses on the pricing of CDS. The CDS is one of the most basic kind of credit derivatives, and it is fundamental to study on its pricing. This thesis has been studied in three aspects:First, in the present study, involving the study of multiple credit protection seller’s situation is very few, and carry out the related research in the financial practice is very necessary. This paper uses the PDE method, in the simplicity of the model, the number of points on a reference asset, and more were analyzed, two credit protection seller of CDS pricing, establish default credit default swap pricing model for the first time.Second, on the basis of the primary-secondary credit risk contagious model, introducing the interest rate driven by jump-diffusion process, then with a hyperbolic attenuation function to describe the default intensity process, analytical solutions were obtained. At last, using Matlab and numerical simulation to get the price curves of companies and CDS. The conclusion of numerical simulation is:jump range is different, the prices of bonds and CDS are also different; counterparty risk factor is different, the prices of bonds and CDS are also different; maturity date is different, the price of CDS is also different.Third, on the basis of the existing ring of default model, introducing the interest rate driven by jump-diffusion process, then with a hyperbolic attenuation function to describe the default intensity process, analytical solutions were obtained.