In this paper, we consider a two-firm default contagion model with counterparty risk and jumpdiffusion interest rate risk. Under this model, we study the pricing of total return swap(TRS). We assume that the interest rate follows the Vasicek jump-diffusion model, and obtain the Libor market interest rate. The case that default is related to the interest rate is considered. Using the method of change of measure and the properties of conditional expectations, the joint conditional survival probability and joint conditional density function are derived. Applying the arbitragefree pricing principle of TRS in the complete market, we price the swap rate of TRS and obtain the closed-form solution. And we analyze the effect of various factors on the price of TRS.

中文翻译：

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具有跳-扩散利率风险的违约传染模型下总收益掉期定价

在本文中，我们考虑了具有交易对手风险和跳跃扩散利率风险的两公司违约传染模型。在此模型下，我们研究了总收益掉期（TRS）的定价。我们假设利率遵循Vasicek跳扩散模型，并获得Libor市场利率。考虑违约与利率有关的情况。利用测度变化方法和条件期望的性质，推导出联合条件生存概率和联合条件密度函数。运用TRS在整个市场上的无套利定价原理，我们对TRS的掉期利率进行定价，并得出封闭式解决方案。并且我们分析了各种因素对TRS价格的影响。