Concept

Convertible bond

Related publications (20)

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Corporate Finance, Asset Returns, and Credit Risk

Philip Valta

This dissertation consists of three chapters. The first chapter empirically investigates how the intensity of product market competition affects the cost of debt. Using a large sample of loans to publicly traded US manufacturing firms, the chapter provides ...

EPFL2010

Is Credit Event Risk Priced? Modeling Contagion Via the Updating of Beliefs

Pierre Collin Dufresne

Empirical tests of reduced form models of default attribute a large fraction of observed credit spreads to compensation for jump-to-default risk. However, these models preclude a “contagion-risk” channel, where the aggregate corporate bond index reacts adv ...

Columbia Business School2010

A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives

Anders Trolle

We develop a tractable and flexible stochastic volatility multifactor model of the term structure of interest rates. It features unspanned stochastic volatility factors, correlation between innovations to forward rates and their volatilities, quasi-analyti ...

Oxford University Press2009

Molecular Dynamics Simulations of Interfacial Sliding in Carbon-Nanotube/Diamond Nanocomposites

William Curtin

Molecular dynamics simulations are reported for the pullout force and interfacial friction of single-and multiwall carbon nanotubes (CNT) with interwall sp(3) bonds embedded in a diamond matrix. The van der Waals interaction and sp(3) bonding are shown to ...

2009

A Software Tool for the Valuation and Optimal Exercise of Swing Options

Daniel Kuhn

Electricity swing options represent a special kind of American-style path dependent power derivatives. Thus, valuation of a swing option is inevitably linked to the determination of an optimal excercise strategy up to the end of the option's exercise perio ...

Institute for Operations Research and Computational Finance, University of St. Gallen2003

Applying the HJM-approach when volatility is stochastic

Pierre Collin Dufresne, Wei Shi

We propose a simple approach to extend the Heath, Jarrow and Morton (1992) model to a framework where the volatility of bond prices and forward rates is stochastic and where volatility-specific risk cannot necessarily be hedged in trading bonds. The arbitr ...

Carnegie Mellon University1997