主 题: A Market Model for Credit Derivatives
报告人: Prof. Lixin Wu (Department of Mathematics, HKUST )
时 间: 2007-12-19 下午 2:40 - 3:40
地 点: 理科一号楼 1560
Abstract: We develop a unified framework for pricing single-name and portfolio credit derivatives under the context of market model. The state variables of our model are forward credit spreads, which are implied by the observable credit-default-swap rates. Under this model, single-name swaptions are priced using the Black\'s formula, while portfolio credit derivatives like CDOs can be priced conveniently using
Monte Carlo
simulations. This dynamic model can be calibrated simultaneously to CDS rates, swaptions and CDO\'s, and it can accommodate both correlations of credit spreads and correlations of defaults.
Biography of Lixin Wu: Graduated in 1991 with a Ph.D. in applied mathematics, Lixin Wu joined HKUST in 1992 and has stayed there since. His interests of research include modeling and pricing of exotic equity derivatives, interest-rate and credit derivatives. His major contributions include a pricing model for soft-barrier options, the optimal calibration method for LIBOR market model, and a credit contagion model. From time to time he serves as a consultant for investment banks and a lecturer for industrial courses on financial engineering.
