Pricing of Convertible Bonds with Hard Call Features potx

... with a hard call feature by the following steps: 9 10 20 30 40 50 Stock 80 100 120 140 160 180 Bond Conversion value Convertible with hard call Convertible without hard call Figure 4: Value of ... value convertible bonds with hard call features is introduced in section 2. The model is implemented empirically in section 3, and section 4 2 concludes. 2 Modellin...

Ngày tải lên: 15/03/2014, 03:20

... component of the convertible bond is, by definition, zero. A fraction of the bond value of the convertible is recovered. In the case of total default with a recovery factor of zero, this model agrees with ... involving convertible bonds. In order to value convertible bonds with credit risk, it is necessary to specify precisely what happens to the components of the...

Ngày tải lên: 15/03/2014, 03:20

... redeem the convertible at a call price or force a conversion into stocks. To keep the convertibles attractive in this case, so called soft and hard call constraints are devised. The hard call constraint ... is larger than the convertible without a notice period. For example if the convertible is called 13% above the optimal value, with a notice period of 30 days, the value...

Ngày tải lên: 06/03/2014, 04:20

... L) +  . x LIST OF FIGURES List of Tables 2.1 No-arbitrage prices of straight bonds, with and without interest rate risk . 20 3.1 No-arbitrage prices of European-style convertible bonds . . . . ... of m identical stocks with value S t and of n identical bonds with value D t , thus V t = m · S t + n · D t . The bonds can be straight bond or any kind of convertible...

Ngày tải lên: 06/03/2014, 08:20

... Schwartz. Convertible bonds: valuation and optimal strategies for call and conversion. Journal of Finance, 32:1699–1715, 1977. [5] M.H.A. Davis and F.R. Lischka. Convertible bonds with market ... valuation of convertible securities. Journal of Financial Economics, 4:289–322, 1977. [12] J.E. Ingersoll. An examination of corporate call policies on convertible securities...

Ngày tải lên: 22/03/2014, 18:20

... http://www.hlt.utdallas.edu/∼ady. 7 http://news.google.com/ ACE ECB Number of topics – 43 Number of documents 745 482 Number of within-topic events – 339 Number of cross-document events – 208 Number of within-document events 4946 1302 Number of true mentions ... RHE:acquire. Class Features (CF) These features aim to group mentions into several types of classes: the part- of...

Ngày tải lên: 07/03/2014, 22:20

... 76 patients with sarcoidosis and 14 with hypersensitivity pneumonitis (HP) revealed that a predominance of small, round and well-differentiated lymphocytes with relative absence of neutrophils, ... resembling a “hand-mirror” correlated well with HP. Conclusions. Evaluation of FBAL together with cellular morphological features especially characteristics of lym- phocytes p...

Ngày tải lên: 03/11/2012, 11:48

... number of words comprising a given type of phrase, divided by the number of phrases of this type. It was computed for PP, NP, VP, ADJP, ADVP. Two versions of the features were computed—one with ... distinguished from machine translations with high fluency with accuracy of 61%. In pairwise comparison of sen- tences with different fluency, accuracy of predict- ing which...

Ngày tải lên: 22/02/2014, 02:20

... financed with tax-exempt bonds, the official statements for the bonds often provide more detailed information on the uses of the bonds. Because of this, we reviewed a limited random sample of official ... timing between the issuance of the new bonds and the maturity date of the outstanding bonds. Current refunding occurs when new bonds are issued within 90 days of t...

Ngày tải lên: 15/03/2014, 07:20

... Options on Credit-Sensitive Bonds 1 1 Introduction The pricing of credit-sensitive bonds, that is, bonds whi ch have a significant probability of default, is an issue of increasing academic and ... volatility curve on 18 July 2000. The volatility of three-month LIBOR of 9.9% and the volatility of the first futures premium of 9.2%, with mean reversion of 170% and 13% res...

Ngày tải lên: 22/03/2014, 18:20