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Pricing Convertible Bonds with Interest Rate, Equity, Credit, and FX Risk
16 references·0 citing·42 second hop
Pricing Convertible Bonds with Interest Rate, Equity, Credit, and FX Risk (2001)Pricing Convertible Bonds with Interest R…Pricing Financial Instruments (2017)Pricing Financial InstrumentsVolatility and Correlation (2004)Volatility and CorrelationTwo-factor convertible bonds valuation using the method of characteristics/finite elements (2003)Two-factor convertible bonds …Convertible bonds with market risk and credit risk (2002)Convertible bonds with market…Valuing Convertible Bonds with Credit Risk (1998)Valuing Convertible Bonds wit…The equity option volatility smile: an implicit finite-difference approach (1997)The equity option volatility …Martingale Methods in Financial Modelling (1997)Martingale Methods in Financi…Convertible Bonds: Model, Value Attribution, and Analytics (1996)Convertible Bonds: Model, Val…Convertible Bonds Are Not Called Late (1995)Convertible Bonds Are Not Cal…Changes of numéraire, changes of probability measure and option pricing (1995)Changes of numéraire, changes…Option pricing: Mathematical models and computation (1994)Option pricing: Mathematical …Implied Binomial Trees (1994)Implied Binomial TreesPricing Interest-Rate-Derivative Securities (1990)Pricing Interest-Rate-Derivat…Voluntary conversion of convertible securities and the optimal call strategy (1989)Voluntary conversion of conve…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…CONVERTIBLE BONDS: VALUATION AND OPTIMAL STRATEGIES FOR CALL AND CONVERSION (1977)CONVERTIBLE BONDS: VALUATION …The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Forecasting the Term Structure of Government Bond Yields (2003)Modelling Extremal Events (1997)Term Structure Dynamics in Theory and Reality (2003)Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach (2003)Stochastic Integration and Differential Equations (2005)Financial distress and corporate risk management: Theory and evidence (2008)Numerical solution of stochastic differential equations (2016)The valuation of options for alternative stochastic processes (1976)Option pricing: A simplified approach (1979)Post-'87 crash fears in the S&P 500 futures option market (2000)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)An Engine, Not a Camera (2006)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Valuing Corporate Securities: Some Effects of Bond Indenture Provisions (1976)Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis (1978)When Are Real Options Exercised? An Empirical Study of Mine Closings (2002)Optimum consumption and portfolio rules in a continuous-time model (1971)An equilibrium characterization of the term structure (1977)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)Far Field Boundary Conditions for Black--Scholes Equations (2000)PDE methods for pricing barrier options (2000)A Real Options Approach to the Valuation of a Forestry Investment (2002)Are convertible bonds underpriced? An analysis of the French market (2003)Valuation of Convertible Bonds With Credit Risk (2003)Credit risk modeling with affine processes (2005)Closed Form Solutions for Term Structure Derivatives with Log‐Normal Interest Rates (1997)LIBOR and swap market models and measures (1997)Time-changed Lévy processes and option pricing (2003)Numerical convergence properties of option pricing PDEs with uncertain volatility (2003)Arbitrage-free smoothing of the implied volatility surface (2009)Principal Component Analysis (2009)Handbook of Financial Engineering (2008)Riding on the smiles (2011)The Most General Methodology to Create a Valid Correlation Matrix for Risk Management and Option Pricing Purposes (2011)
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References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1990Pricing Interest-Rate-Derivative Securities2,168 cited
  • 1994Implied Binomial Trees1,749 cited
  • 1997Martingale Methods in Financial Modelling1,085 cited
  • 1995Changes of numéraire, changes of probability measure and option pricing808 cited
  • 1994Option pricing: Mathematical models and computation805 cited
  • 1977CONVERTIBLE BONDS: VALUATION AND OPTIMAL STRATEGIES FOR CALL AND CONVERSION473 cited
  • 2004Volatility and Correlation253 cited
  • 1998Valuing Convertible Bonds with Credit Risk222 cited
  • 1997The equity option volatility smile: an implicit finite-difference approach199 cited
  • 1995Convertible Bonds Are Not Called Late109 cited
  • 2002Convertible bonds with market risk and credit risk72 cited
  • 1996Convertible Bonds: Model, Value Attribution, and Analytics72 cited
  • 2003Two-factor convertible bonds valuation using the method of characteristics/finite elements67 cited
  • 1989Voluntary conversion of convertible securities and the optimal call strategy54 cited
  • 2017Pricing Financial Instruments

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