英文标题：
《Numerical analysis for a unified 2 factor model of structural and
reduced form types for corporate bonds with fixed discrete coupon》
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作者：
Hyong-Chol O., Jong-Chol Kim and Il-Gwang Jon
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最新提交年份：
2018
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英文摘要：
Conditions of Stability for explicit finite difference scheme and some results of numerical analysis for a unified 2 factor model of structural and reduced form types for corporate bonds with fixed discrete coupon are provided. It seems to be difficult to get solution formula for PDE model which generalizes Agliardi\'s structural model [1] for discrete coupon bonds into a unified 2 factor model of structural and reduced form types and we study a numerical analysis for it by explicit finite difference scheme. These equations are parabolic equations with 3 variables and they include mixed derivatives, so the explicit finite difference scheme is not stable in general. We find conditions for the explicit finite difference scheme to be stable, in the case that it is stable, numerically compute the price of the bond and analyze its credit spread and duration.
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中文摘要：
给出了显式有限差分格式的稳定性条件以及固定离散息票公司债券结构型和简化型统一2因素模型的一些数值分析结果。PDE模型将Agliardi的离散息票债券结构模型[1]推广到结构和简化形式的统一2因素模型中，似乎很难得到该模型的解公式，我们采用显式有限差分格式对其进行了数值分析。这些方程是三元抛物方程，含有混合导数，因此显式差分格式一般不稳定。我们找到显式有限差分格式稳定的条件，在其稳定的情况下，数值计算债券价格，分析其信用利差和期限。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics 数学
二级分类：Numerical Analysis 数值分析
分类描述：Numerical algorithms for problems in analysis and algebra, scientific computation
分析和代数问题的数值算法，科学计算
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一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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