With several banks issuing substantial amounts of contingent convertible (“coco”) bonds since 2009 this paper is the first to analyse empirically the suitability of selected pricing models that have been proposed for this kind of instrument. The analysis of coco bond issues by major banks...

Abstract Der Beitrag befasst sich mit einer neuen Klasse von Aktienankihen, die im Gegensatz zu anderen Produkten einen Schutz vor der Aktientilgung durch den Emittenten beinhalten. Es werden zwei geschützte" Aktienankihen durch Duplikation bewertet. Darauf aufbauend werden die Eigenschaften...

This note addresses the properties of mean-reverting stochastic processes of the Black-Karasinski type with additional stochastic jumps. For these processes, which are well suited for many financial applications such as the modelling of commodity prices and credit spreads, one would usually like...

This paper studies the valuation of multivariate equity options by determining the joint risk-neutral distribution of the underlying stock prices by means of copulas. In contrast to previous work which concentrates on two underlyings this study considers the general multivariate case. In...