In this paper we solve a two-factor convertible bonds model that fits the observed term
structure, calibrates the volatility parameters to market data and allows for correlation …

Equity hybrid derivatives are a very young class of structures which have drawn a lot of
attention over the past two years for many different reasons. Equity hybrid derivatives …

This paper presents a simple pricing model for valuing callable convertible bonds under the
setting of a coupled stopping game between the issuer (firm) and the investor (holder). We …

We describe a two factor valuation model for convertible bonds when the firm may default.
The underlying state variables are the asset value of the firm and the short riskless interest …

Arrow–Debreu state preference approach to derivatives pricing is embedded into a decision
theoretical framework. Derivatives prices are considered as decision variables. Axiomatic …

In this thesis, we introduce a non-probabilistic model for the short-term interest rate. The key
concepts involved in this new approach are the non-diffusive nature of the short rate process …

Under the framework of behavioral finance, this paper takes investor sentiment into pricing
model of convertible bond, discussing influence of investor sentiment on bonds value and …

The objective of this thesis is to improve the understanding of the models arising in
convertible bond (CB) valuation, introduce new models incorporating interest rate and credit …

Unknown to most clients, Northfield has been involved in the creation of trade execution
algorithms since 2004. Algorithmic execution of buy-side orders has steadily gained an ever …

Résumé Cet article évalue la façon dont les taux de change effectifs réels des pays de la
zone euro répondent à des chocs mondiaux avant et après le début de lsUnion Economique …