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A unifying approach for the pricing of debt securities

Vachon, Marie-Claude; MacKay, Anne - In: Quantitative finance 24 (2024) 12, pp. 1747-1772

Persistent link: https://www.econbiz.de/10015196964

Convertible Bonds Valuation in a Jump Diffusion Setting with Stochastic Interest Rates

Ballotta, Laura - 2019

computed convertible bond prices. We illustrate the performance of the numerical scheme and highlight the effects originated by …

Persistent link: https://www.econbiz.de/10012906221

Callable Mortgage Bonds : Numerical Methods and Valuation Models for Pricing and Risk Analysis

Rom, Niels - 2025

Chapter 1. Introduction -- Chapter 2. Fixed Income -- Chapter 3. Mathematical Finance -- Chapter 4. Prepayment Model Estimation -- Chapter 5. Stochastic Interest Rate Model -- Chapter 6. Simulation -- Chapter 7. Finite Difference -- Chapter 8. Semi-Analytic MBS Pricing -- Chapter 9....

Persistent link: https://www.econbiz.de/10015401840

Essays on term structure modeling : estimation, nonlinearities and immunization

Archontakis, Theofanis - 2007

Persistent link: https://www.econbiz.de/10003637458

A hybrid model for pricing and hedging of long-dated bonds

Baldeaux, Jan; Fung, Man Chung; Ignatieva, Ekaterina; … - In: Applied mathematical finance 22 (2015) 3/4, pp. 366-398

Persistent link: https://www.econbiz.de/10011436216

Convertible bond pricing models

Batten, Jonathan A.; Khaw, Karren Lee-Hwei; Young, Martin R. - In: Journal of economic surveys 28 (2014) 5, pp. 775-803

Persistent link: https://www.econbiz.de/10011293766

Valuing convertible bonds and the option to exchange bonds for stock

Finnerty, John D. - In: The journal of corporate finance : contracting, … 31 (2015), pp. 91-115

Persistent link: https://www.econbiz.de/10011290007

Valuation model for Chinese convertible bonds with soft call/put provision under the hybrid willow tree

Ma, Changfu; Xu, Wei; Yuan, George - In: Quantitative finance 20 (2020) 12, pp. 2037-2053

Persistent link: https://www.econbiz.de/10012313551

Coco Bonds Valuation with Equity- and Credit-Calibrated First Passage Structural Models

Brigo, Damiano - 2017

convertible-bond type contract focusing on Capital. Under the terms of this contract, a bond is converted into equity if the … authorities deem the institution to be under-capitalized. This paper discusses this Contingent Capital (or Coco) bond instrument …

Persistent link: https://www.econbiz.de/10012974583

Valuation and Analysis of Zero-Coupon Contingent Capital Bonds

Metzler, Adam - 2014

We consider the valuation and analysis of zero-coupon contingent capital bonds (CCBs) in the structural framework. Using Doob's Optional Sampling Theorem (and making virtually no assumptions on asset value dynamics, the terms of conversion or the conversion trigger) we express the value of the...

Persistent link: https://www.econbiz.de/10013054835