DocumentCode
526664
Title
Notice of Retraction
The PIDE pricing model of interest rate swap with default risk under Variance Gamma process
Author
Xiaofeng Yang ; Jinping Yu ; Shenghong Li ; Cristoforo, A.J.
Author_Institution
Dept. of Math., Zhejiang Unversity, Hangzhou, China
Volume
4
fYear
2010
fDate
9-11 July 2010
Firstpage
174
Lastpage
177
Abstract
Notice of Retraction
After careful and considered review of the content of this paper by a duly constituted expert committee, this paper has been found to be in violation of IEEE´s Publication Principles.
We hereby retract the content of this paper. Reasonable effort should be made to remove all past references to this paper.
The presenting author of this paper has the option to appeal this decision by contacting TPII@ieee.org.
In this paper, we intend to establish the PIDE pricing model of interest rate swap with default risk under Variance Gamma process. Under the assumption of the dynamics assets price process of a counterparty with Variance Gamma (VG) process, we treat the assets price process as a direct variable in the partial integro-differential equation (PIDE) of interest rate swap pricing, different from the working paper, in which they treat the default risk calculated from the Variance Gamma process as an item of the adjustment interest rate. At the end of this paper, we give a numerical result from the PIDE and find that a one hundred basis point of credit spread (bond spread) only results in 0.115 basis point in swap spread.
After careful and considered review of the content of this paper by a duly constituted expert committee, this paper has been found to be in violation of IEEE´s Publication Principles.
We hereby retract the content of this paper. Reasonable effort should be made to remove all past references to this paper.
The presenting author of this paper has the option to appeal this decision by contacting TPII@ieee.org.
In this paper, we intend to establish the PIDE pricing model of interest rate swap with default risk under Variance Gamma process. Under the assumption of the dynamics assets price process of a counterparty with Variance Gamma (VG) process, we treat the assets price process as a direct variable in the partial integro-differential equation (PIDE) of interest rate swap pricing, different from the working paper, in which they treat the default risk calculated from the Variance Gamma process as an item of the adjustment interest rate. At the end of this paper, we give a numerical result from the PIDE and find that a one hundred basis point of credit spread (bond spread) only results in 0.115 basis point in swap spread.
Keywords
economic indicators; integro-differential equations; partial differential equations; pricing; PIDE pricing model; Variance Gamma process; dynamics assets price process; interest rate swap; partial integro-differential equation; Argon;
fLanguage
English
Publisher
ieee
Conference_Titel
Computer Science and Information Technology (ICCSIT), 2010 3rd IEEE International Conference on
Conference_Location
Chengdu
Print_ISBN
978-1-4244-5537-9
Type
conf
DOI
10.1109/ICCSIT.2010.5564827
Filename
5564827
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