• 1. Introduction
  • 2. Valuing Vulnerable Discount Certificates
  • 2.1 Replicating Portfolio
  • 2.2 The Issuer Model
  • 2.3 The Underlying Model
  • 2.4 Numerical Example
  • 3. Empirical Analysis
  • 3.1 Preliminaries
  • 3.2 Data and Empirical Methods
  • 3.3 Calibration of the Model
  • 3.4 Empirical Results
  • 4. Conclusions