Pricing of forward starting collateralized debt obligation

... 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

... The financial crisis and the pricing of interest rates in the Irish mortgage market: 2003-2011 Jean Goggin, Sarah Holton, Jane Kelly, Reamonn Lydon and Kieran McQuinn Abstract This paper examines ... examines the changing manner in which Irish financial institutions set their variable interest rates over the period 2003 - 2011 In particular,...

Ngày tải lên: 15/03/2014, 14:20

... cycle of small business. 4 The Financial Growth Cycle of Small Business Small business may be thought of as having a financial growth cycle in which financial needs and options change as the business ... funds in the private equity and debt markets The flow and pricing of private equity depend crucially on the public equity...

Ngày tải lên: 15/03/2014, 21:20

... details on the implementation of the binomial approximation Model for Pricing Options on Credit-Sensitive Bonds Duffie and Singleton show that the assumption of a constant recovery rate on default, ... for Pricing Options on Credit-Sensitive Bonds 19 The table shows swaption prices for in -the- money (6.5%), at -the- money (7.5%), and out -of- themoney (8.5%...

Ngày tải lên: 22/03/2014, 18:20

... bankruptcy and default with modern Þnancial theory The Þrst to use this new approach were Leland (1994) and Leland and Toft (1996) who consider the design of optimal structure and the pricing of debt ... price of a short-term bond B1 and the price of the long-term bond B2 with 0 00 the price of a long-term bond B2 The bonds B1 and B2 are bonds with similar face val...

Ngày tải lên: 29/03/2014, 03:20

... 15:36 xx 8660: Modeling and Pricing of Swaps ws-book975x65 Modeling and Pricing of Swaps for Financial and Energy Markets 16.7 16.8 16.6.3 Volatility Swaps for Markets with Stochastic Volatility ... 15:36 10 8660: Modeling and Pricing of Swaps ws-book975x65 Modeling and Pricing of Swaps for Financial and Energy Markets Swishc...

Ngày tải lên: 11/07/2014, 18:33

... kept as dependent variables Moreover, total capital (CAPITAL) and total turnover (TURNOVER) of each a liate are taken from the MiDi database As unpaid dividends and interest of financial assets may ... directly on balance sheet items reflecting intrafirm sales The analysis is based on the MiDi database, a comprehensive micro-level panel database of virtually all German multination...

Ngày tải lên: 13/07/2014, 21:13

... the search of strong words We refer to Lothaire [6] for elementary definitions in combinatorics on words Let A = {a, b, c} be a ternary alphabet, and B = {0, 1} a binary alphabet For a binary word ... Several parts of the proofs are computer aided, both for searching the strong words (the main concept in the proofs) as well as for checking their compatibilities We have incl...

Ngày tải lên: 08/08/2014, 12:23

... article as: Cella et al., Radiotherapy of large target volumes in Hodgkin's lymphoma: normal tissue sparing capability of forward IMRT versus conventional techniques Radiation Oncology 2010, 5:33 ... on normal tissue sparing in HL is only hypothesized and not quantified In addition, in this work we propose a reproducible way of drawing the target...

Ngày tải lên: 09/08/2014, 08:23

... implementation of forward and inverse IMRT techniques may significantly increase the probability of tumour control and reduce the probability of complications The increase in the probability of tumour ... C, Schneider C, Nüsslin F, Damen EM: A comparison of forward and inverse treatment planning for intensity-modulated radiotherapy of head and neck cancer R...

Ngày tải lên: 09/08/2014, 09:20

... ‘quality’ auditor, ( ) the possibility of auditor change for the purpose of ‘opinion shopping’ and ( ) the association between audit and non -audit services and fee setting for these services In ... Size of auditee i’s auditor (Big or Non-Big 8), Amount of NAS provided to auditee i by its auditor, Size of auditee i , Complexity of auditee i , Risk to the...

Ngày tải lên: 06/01/2015, 19:41

... unit of innate accruals quality) : H2 There is no difference in the cost of capital effects of the innate component of accruals quality versus the discretionary component of accruals quality 2.3.2 ... go long in the top decile of total accruals and short in the bottom total accruals decile We then test to see whether the intercept (the measure of the...

Ngày tải lên: 06/01/2015, 19:47

... John C Hull 2012 14 Forward vs Futures Prices When the maturity and asset price are the same, forward and futures prices are usually assumed to be equal (Eurodollar futures are an exception) When ... value of a long forward contract, ƒ, is (F0 – K )e–rT the value of a short forward contract is (K – F0 )e–rT Options, Futures, and Other Derivatives, 8th Edition, Cop...

Ngày tải lên: 19/04/2015, 16:50

... price of the nth -to- default standard Basket CDS as a function of n, the number of defaults before the payment is made 77 Evolution of the price of the 1st -to- default standard Basket CDS as a function ... then all the data are perfectly discordant A value of of the Spearman’s ρ means that we cannot extract any concordance or discordance from the data 2...

Ngày tải lên: 03/10/2015, 20:30

... calculus result 65 Pricing of forward starting collateralized debt obligation B Market Data 65 C Fitting of market data 67 Pricing of forward starting collateralized debt obligation Introduction ... computations, we will set R = 40% Pricing of forward starting collateralized debt obligation 2.6 Probability of default We now derive the distribution...

Ngày tải lên: 16/10/2015, 15:36