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Efficient Pricing of Contingent Convertibles Under Smile Conform Models
11 references·0 citing·42 second hop
Efficient Pricing of Contingent Convertibles Under Smile Conform Models (2011)Efficient Pricing of Contingent Convertib…Pricing Contingent Convertibles: A Derivatives Approach (2012)Pricing Contingent Convertibl…Meromorphic Lévy processes and their fluctuation identities (2012)Meromorphic Lévy processes an…The Handbook of Convertible Bonds: Pricing, Strategies and Risk Management (2011)The Handbook of Convertible B…Conic coconuts: the pricing of contingent capital notes using conic finance (2011)Conic coconuts: the pricing o…A Wiener–Hopf Monte Carlo simulation technique for Lévy processes (2011)A Wiener–Hopf Monte Carlo sim…Wiener–Hopf factorization and distribution of extrema for a family of Lévy processes (2010)Wiener–Hopf factorization and…Contingent Capital: An In-Depth Discussion (2010)Contingent Capital: An In-Dep…Contingent Capital with a Capital-Ratio Trigger (2010)Contingent Capital with a Cap…Levy Processes in Credit Risk (2009)Levy Processes in Credit RiskLévy Processes in Finance (2003)Lévy Processes in FinanceRandomization and the American Put (1998)Randomization and the America…Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling (1997)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Financial Modelling with Jump Processes (2003)Spitzer Identity, Wiener-Hopf Factorization and Pricing of Discretely Monitored Exotic Options (2015)Stochastic Processes in Queueing Theory (1976)A Jump-Diffusion Model for Option Pricing (2002)Stochastic Volatility for Lévy Processes (2003)Multilevel Monte Carlo simulation for Lévy processes based on the Wiener–Hopf factorisation (2013)Suprema of Lévy processes (2013)Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations (2016)Stabilizing Large Financial Institutions with Contingent Capital Certificates (2009)A Structural Model of Contingent Bank Capital (2010)A Structural Model of Contingent Bank Capital (2010)CONVERTIBLE BOND PRICING MODELS (2013)Pricing of contingent convertibles under smile conform models (2013)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Stochastic Integration and Differential Equations (2005)On the Design of Contingent Capital with Market Trigger (2011)FROM RUIN TO BANKRUPTCY FOR COMPOUND POISSON SURPLUS PROCESSES (2013)Funding advantage and market discipline in the Canadian banking sector (2013)The Variance Gamma (V.G.) Model for Share Market Returns (1990)An Insurance Risk Model with Parisian Implementation Delays (2013)No Pain, No Gain? Effecting Market Discipline via “Reverse Convertible Debentures” (2005)New Measures for Performance Evaluation (2008)Market-Based Corrective Actions (2009)Close form pricing formulas for Coupon Cancellable CoCos (2014)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Determinants of corporate borrowing (1977)Bank Runs, Deposit Insurance, and Liquidity (1983)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Option pricing: A simplified approach (1979)Optimal Portfolio Choice and the Valuation of Illiquid Securities (2001)Pricing and Hedging Path-Dependent Options Under the CEV Process (2001)Russian and American put options under exponential phase-type Lévy models (2003)A Theory of the Term Structure of Interest Rates (1985)Brownian Motion and Stochastic Calculus (2007)Notes on discrete compound Poisson model with applications to risk theory (2014)Some remarks on first passage of Lévy processes, the American put and pasting principles (2005)Fractional Diffusion Models of Option Prices in Markets With Jumps (2006)Pricing early-exercise and discrete barrier options by fourier-cosine series expansions (2009)
this work references cited by second hop

References

  • 2003Lévy Processes in Finance793 cited
  • 1998Randomization and the American Put404 cited
  • 2010Wiener–Hopf factorization and distribution of extrema for a family of Lévy processes130 cited
  • 2011A Wiener–Hopf Monte Carlo simulation technique for Lévy processes95 cited
  • 2012Meromorphic Lévy processes and their fluctuation identities88 cited
  • 2009Levy Processes in Credit Risk68 cited
  • 2011Conic coconuts: the pricing of contingent capital notes using conic finance46 cited
  • 2010Contingent Capital: An In-Depth Discussion44 cited
  • 2010Contingent Capital with a Capital-Ratio Trigger44 cited
  • 2012Pricing Contingent Convertibles: A Derivatives Approach39 cited
  • 2011The Handbook of Convertible Bonds: Pricing, Strategies and Risk Management22 cited

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