Αποτίμηση ομολόγων υπό πιστοληπτική ικανότητα και στοχαστικό επιτόκιο

Abstract

This thesis refers to corporate bond pricing with potential credit rating migration and stochastic interest rate. The rating change is based on a predetermined ratio. The firm’s volatility depends on potential credit rating migration and interest rate. Initially, we display the theoretical framework of previous bond pricing models. In addition, we present a new pricing model, which differs from previous models where the credit rating change is only allowed to occur once or multiple times with constant interest rate. Furthermore, an empirical study is performed using the MatLab programming language. Specifically, we make use of market data to estimate the parameters of the model, based on Merton model and Levenberg-Marquardt algorithm. Finally, we present the numerical evaluation of the corporate bond both in case of a constant interest rate and in case of a stochastic interest rate that follows the Vasicek model. A numerical analysis is performed for the description of the interface set resulting from the credit rating change of the bond, as well.