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Mathematical Problems in Engineering
Volume 2015, Article ID 879185, 6 pages
Research Article

Credit Derivatives Pricing Model for Fuzzy Financial Market

1School of Economics and Management, Southeast University, Nanjing, Jiangsu 211189, China
2Department of Mathematics, Henan Institute of Science and Technology, Xinxiang, Henan 453003, China

Received 25 April 2015; Accepted 29 September 2015

Academic Editor: Salvatore Alfonzetti

Copyright © 2015 Liang Wu et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.


With various categories of fuzziness in the market, the factors that influence credit derivatives pricing include not only the characteristic of randomness but also nonrandom fuzziness. Thus, it is necessary to bring fuzziness into the process of credit derivatives pricing. Based on fuzzy process theory, this paper first brings fuzziness into credit derivatives pricing, discusses some pricing formulas of credit derivatives, and puts forward a One-Factor Fuzzy Copula function which builds a foundation for portfolio credit products pricing. Some numerical calculating samples are presented as well.