Pricing of convertible bonds with credit risk and stochastic interest rate

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Ngày tải lên: 17/02/2014, 11:20

... call strategy which an issuer should follow if he could call without notice Butler [But02] extends these results for notice periods and dilution The optimal call strategy for a continuously callable ... implicitly applied e.g with a penalty method [FV02] function vector = convertible with notice (Vterminal , S , T , σ , r , ) { \\Computes the values of a convertible wit...

Ngày tải lên: 06/03/2014, 04:20

... statement This publication focuses on credit risk Investments in municipal bonds entail other risks, such as call risk, interest rate risk, inflation risk, and liquidity risk Please refer to the material ... on these risks Credit ratings are assessments of municipal bonds’ credit risk at a particular point in time You should be aware that because credit ratings may change...

Ngày tải lên: 06/03/2014, 04:21

... life of the debt Introduction There are numerous research on different types of convertible bonds One example is mandatory convertible bonds, which belong to the family of European-style convertible ... number of shares is n and the total value of equity amounts to E0 The firm issues convertible bonds to finance the expansion of a total amount of V0 − E0 The convertib...

Ngày tải lên: 06/03/2014, 08:20

... convertible bonds under the framework developed here The outline of the article is as follows Section outlines the convertible bond valuation problem in the absence of credit risk Section reviews credit ... fraction of time (e.g 20 out of the last 30 days) The modern academic literature on the valuation of convertibles began with the papers of I...

Ngày tải lên: 15/03/2014, 03:20

... value convertible bonds with hard call features is introduced in section The model is implemented empirically in section 3, and section concludes Modelling Convertible Bonds with Hard Calls Using ... bond with a hard call feature by the following steps: Bond Conversion value Convertible with hard call Convertible without hard call 180 160 140 120 100 80...

Ngày tải lên: 15/03/2014, 03:20

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Ngày tải lên: 22/03/2014, 09:20

... conversion Journal of Finance, 32:1699–1715, 1977 [5] M.H.A Davis and F.R Lischka Convertible bonds with market risk and credit risk In R Chan, Y.-K Kwok, D Yao, and Q Zhang, editors, Applied Probability, ... 28 [3] T.R Bielecki and M Rutkowski Credit Risk: Modeling, Valuation and Hedging Springer-Verlag, Berlin, 2002 [4] M.J Brennan and E.S Schwartz Convertible bonds: valua...

Ngày tải lên: 22/03/2014, 18:20

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Ngày tải lên: 23/03/2014, 15:20

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Ngày tải lên: 23/04/2014, 16:02

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Ngày tải lên: 20/06/2014, 08:20

... Author: Wong Man Chui Title: Applications of Malliavin Calculus and White Noise Analysis in Interest Rate Markets, and Convertible Bonds with and without Symmetric Information Department: Mathematics ... Applications of Malliavin Calculus and White Noise Analysis in Interest Rate Markets, and Convertible Bonds with and wi...

Ngày tải lên: 11/09/2015, 14:27

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Ngày tải lên: 22/09/2015, 15:18

... initiating lmdif Pricing of convertible bond with credit risk and stochastic interest rate 36 PRICING MODEL OF CONVERTIBLE BONDS 4.1 Convertible bonds with credit risk and stochastic interest rate: Two-Factor ... risk- free rate The risk- free rate is just the spot rate Pricing of convertible bond with credit risk and stochas...

Ngày tải lên: 16/10/2015, 12:00