[go: up one dir, main page]
More Web Proxy on the site http://driver.im/
create a website
Convertible Bonds: Risks and Optimal Strategies. (2010). Huang, Haishi .
In: Bonn Econ Discussion Papers.
RePEc:zbw:bonedp:072010.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 29

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Acharya, V. and Carpenter, J.: 2002, Corporate bond valuation and hedging with stochastic interest rates and endogenous bankruptcy, Review of Financial Studies 24, 255–269.

  2. Avellaneda, M., Levy, A. and Parás, A.: 1995, Pricing and hedging derivative securities in markets with uncertain volatilities, Appl. Math. Finance 2, 73–88.

  3. Bielecki, T. and Rutkowski, M.: 2004, Credit risk: Modelling Valuation and Hedging, Springer.
    Paper not yet in RePEc: Add citation now
  4. Bielecki, T., Crèpey, M., Jeanblanc, M. and Rutkowski, M.: 2006, Arbitrage pricing of defaultable game options and applications. Working Paper.
    Paper not yet in RePEc: Add citation now
  5. Bjørk, T.: 2004, Arbitrage Theory in Continuous Time, 2 edn, Oxford University Press.
    Paper not yet in RePEc: Add citation now

  6. Brennan, M. and Schwarz, E.: 1977, Convertible bonds: Valuation and optimal strategies for call and conversion, Journal of Finance 32, 1699–1715.

  7. Briys, E. and de Varenne, F.: 1997, Valuing risky fixed rate debt: An extension., Journal of Financial and Quantitative Analysis 32, 239–248.

  8. Cvitanić, J. and Karatzas, I.: 1996, Backward stochastic differential equations with reflection and dynkin games, The Annals of Probabiity 24, 2024–2056.
    Paper not yet in RePEc: Add citation now
  9. Egami, M.: 2008, A game options approach to the investment problem with convertible securities financing. Working paper.
    Paper not yet in RePEc: Add citation now
  10. Ekström, E.: 2006, Properties of game options, Mathematical Methods of Operations Research 63, 221–238.
    Paper not yet in RePEc: Add citation now

  11. Francois, P. and Morellec, E.: 2004, Capital structure and asset prices: Some effects of bankruptcy procedures, Journal of Business 77, 387–411.

  12. Frey, R.: 2000, Superreplication in stochastic volatility models and optimal stopping, Finance and Stochastics 4, 161–188.

  13. Giesecke, K.: 2005, Default and information. Working paper, Cornell University.
    Paper not yet in RePEc: Add citation now

  14. Harrison, J. and Kreps, D.: 1979, Martingales and arbitrage in multiperiod security markets, Journal of Economic Theory 20, 381–408.

  15. Ingersoll, J.: 1977, An examination of corporate call policies on convertible securities, Journal of Finance 32, 463–478.

  16. Kallsen, J. and Kühn, C.: 2004, Pricing derivative of american and game type in incomplete markets, Finance and Stochastics 8.

  17. Kallsen, J. and Kühn, C.: 2005, Convertible bonds: Financial derivatives of game type, in A. A. Kyprianou, W. Schoutens and P. Wilmott (eds), Exotic Option Pricing and Advanced Lévy Models, Wiley, pp. 277–291.
    Paper not yet in RePEc: Add citation now
  18. Karatzas, I. and Shreve, S.: 1998, Methods of Mathematical Finance, Springer.
    Paper not yet in RePEc: Add citation now

  19. Kühn, C. and Kyprianou, A.: 2007, Callable puts as composite exotic options, Mathematical Finance 17, 487–502.

  20. Kyprianou, A.: 2004, Some calculations for israeli options, Finance and Stochastics 8, 73–86.

  21. Lando, D.: 2004, Credit Risk Modeling: Theory and Applications, Princeton University Press.
    Paper not yet in RePEc: Add citation now
  22. Leland, H.: 2004, Predictions of default probabilities in structural models of debt, Journal of Investment Management 2, 5–20.
    Paper not yet in RePEc: Add citation now

  23. Lyons, T.: 1995, Uncertain volatility and the risk free synthesis of derivatives, Applied Mathematical Finance 2, 117–133.

  24. Menkveld, A. and Vorst, T.: 1998, A pricing model for american options with stochastic interest rate. Working paper.

  25. Menkveld, A. and Vorst, T.: 2000, A pricing model for american options with gaussian interestrrate, Annals of Operations Research 100, 211–226.

  26. Modigliani, F. and Miller, M.: 1958, The cost of capital, corporation finance and the theory of investment, American Economic Review 48, 261–297.
    Paper not yet in RePEc: Add citation now
  27. Sirbu, M. and Schreve, S.: 2006, A two-person game for pricing convertible bonds, SIAM Journal on Control and Optimization 45, 1508C1539.
    Paper not yet in RePEc: Add citation now
  28. Sirbu, M., Pilovsky, I. and Schreve, S.: 2004, Perpetual convertible bonds, SIAM Journal on Control and Optimization 43, 58–85.
    Paper not yet in RePEc: Add citation now

  29. Smith, A.: 2002, American options under uncertain volatility, Applied Mathematical Finance 9, 123–141.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Analyzing interactive call, default, and conversion policies for corporate bonds. (2022). Chang, Haohan ; Zhou, Lei ; Dai, TianShyr ; Liu, Liangchih.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:42:y:2022:i:8:p:1597-1638.

    Full description at Econpapers || Download paper

  2. Estimating yield spreads volatility using GARCH-type models. (2021). Kim, Dong H ; Jung, Hojin.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000310.

    Full description at Econpapers || Download paper

  3. Structural recovery of face value at default. (2020). Tarelli, Andrea ; Sbuelz, Alessandro ; Guha, Rajiv.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:283:y:2020:i:3:p:1148-1171.

    Full description at Econpapers || Download paper

  4. Modeling non-normal corporate bond yield spreads by copula. (2020). Jung, Hojin ; Kim, Dong H.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820301078.

    Full description at Econpapers || Download paper

  5. .

    Full description at Econpapers || Download paper

  6. Evaluating corporate bonds and analyzing claim holders’ decisions with complex debt structure. (2016). Liu, Liang-Chih ; Wang, Chuan-Ju ; Dai, Tian-Shyr.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:72:y:2016:i:c:p:151-174.

    Full description at Econpapers || Download paper

  7. Using Merton model for default prediction: An empirical assessment of selected alternatives. (2016). Galil, Koresh ; Afik, Zvika ; Arad, Ohad .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:35:y:2016:i:c:p:43-67.

    Full description at Econpapers || Download paper

  8. Prepayment risk on callable bonds: theory and test. (2015). Franois, Pascal ; Pardo, Sophie.
    In: Decisions in Economics and Finance.
    RePEc:spr:decfin:v:38:y:2015:i:2:p:147-176.

    Full description at Econpapers || Download paper

  9. Understanding the term structure of credit default swap spreads. (2015). Han, Bing ; Zhou, YI.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:31:y:2015:i:c:p:18-35.

    Full description at Econpapers || Download paper

  10. Using Merton model: an empirical assessment of alternatives. (2015). Galil, Koresh ; Afik, Zvika ; Arad, Ohad .
    In: Working Papers.
    RePEc:bgu:wpaper:1503.

    Full description at Econpapers || Download paper

  11. Sovereign risk and its changing effects on bond duration during financial crisis. (2014). Lee, Heiwai ; Xie, Yan Alice ; Yau, Jot.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:24:y:2014:i:22:p:1465-1477.

    Full description at Econpapers || Download paper

  12. On the Fundamental Relation Between Equity Returns and Interest Rates. (2014). Choi, Jae Won ; Whitelaw, Robert F. ; Richardson, Matthew P..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:20187.

    Full description at Econpapers || Download paper

  13. The effect of interest rate volatility and equity volatility on corporate bond yield spreads: A comparison of noncallables and callables. (2014). Kim, Dong H. ; Stock, Duane .
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:26:y:2014:i:c:p:20-35.

    Full description at Econpapers || Download paper

  14. Adjusted Moneys Worth Ratios in Life Annuities. (2013). Walker, Eduardo ; Casassus, Jaime.
    In: Documentos de Trabajo.
    RePEc:ioe:doctra:434.

    Full description at Econpapers || Download paper

  15. How do bond investors perceive dividend payouts?. (2013). Nejadmalayeri, Ali ; Jiraporn, Pornsit ; Singh, Manohar ; Mathur, Ike.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:27:y:2013:i:1:p:92-105.

    Full description at Econpapers || Download paper

  16. Sarbanes-Oxley Act and corporate credit spreads. (2013). Rao, Ramesh ; Nejadmalayeri, Ali ; Nishikawa, Takeshi .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:8:p:2991-3006.

    Full description at Econpapers || Download paper

  17. The issuance of callable bonds under information asymmetry. (2013). Jameson, Mel ; Choi, Seungmook ; Jung, Mookwon .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:21:y:2013:i:c:p:1-14.

    Full description at Econpapers || Download paper

  18. Product market advertising and corporate bonds. (2013). Nejadmalayeri, Ali ; Singh, Manohar ; Mathur, Ike.
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:19:y:2013:i:c:p:78-94.

    Full description at Econpapers || Download paper

  19. Pricing American interest rate options under the jump-extended constant-elasticity-of-variance short rate models. (2012). Beliaeva, Natalia ; Nawalkha, Sanjay .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:1:p:151-163.

    Full description at Econpapers || Download paper

  20. On the determinants of the implied default barrier. (2012). Dionne, Georges ; Laajimi, Sadok .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:19:y:2012:i:3:p:395-408.

    Full description at Econpapers || Download paper

  21. Impact of the TARP financing choice on existing preferred stock. (2012). Kim, Dong H. ; Stock, Duane .
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:18:y:2012:i:5:p:1121-1142.

    Full description at Econpapers || Download paper

  22. Using Merton model: an empirical assessment of alternatives. (2012). Galil, Koresh ; Arad, Ohad ; Afik, Zvika.
    In: Working Papers.
    RePEc:bgu:wpaper:1202.

    Full description at Econpapers || Download paper

  23. A comprehensive structural model for defaultable fixed-income bonds. (2011). Agliardi, Rossella.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:11:y:2011:i:5:p:749-762.

    Full description at Econpapers || Download paper

  24. The impact of sovereign risk on bond duration: Evidence from Asian sovereign bond markets. (2011). Lee, Heiwai ; Xie, Yan Alice ; Yau, Jot.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:20:y:2011:i:3:p:441-451.

    Full description at Econpapers || Download paper

  25. Hysteresis effects under CIR interest rates. (2011). Shackleton, Mark ; Dias, Jose Carlos.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:211:y:2011:i:3:p:594-600.

    Full description at Econpapers || Download paper

  26. Convertible Bonds: Risks and Optimal Strategies. (2010). Huang, Haishi .
    In: Bonn Econ Discussion Papers.
    RePEc:zbw:bonedp:072010.

    Full description at Econpapers || Download paper

  27. Predicting credit spreads. (2010). Thomson, James ; Ritchken, Peter H. ; Krishnan, C. N. V., .
    In: Journal of Financial Intermediation.
    RePEc:eee:jfinin:v:19:y:2010:i:4:p:529-563.

    Full description at Econpapers || Download paper

  28. Reduced-form valuation of callable corporate bonds: Theory and evidence. (2010). LI, HAITAO ; Jarrow, Robert ; Wu, Chunchi ; Liu, Sheen.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:95:y:2010:i:2:p:227-248.

    Full description at Econpapers || Download paper

  29. A simple model of deferred callability in defaultable debt. (2010). Mjos, Aksel ; Persson, Svein-Arne .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:207:y:2010:i:3:p:1350-1357.

    Full description at Econpapers || Download paper

  30. Callable risky perpetual debt with protection period. (2010). Mjos, Aksel ; Persson, Svein-Arne .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:207:y:2010:i:1:p:391-400.

    Full description at Econpapers || Download paper

  31. Underinvestment, capital structure and strategic debt restructuring. (2010). Pawlina, Grzegorz .
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:16:y:2010:i:5:p:679-702.

    Full description at Econpapers || Download paper

  32. Mortgage timing. (2009). Van Nieuwerburgh, Stijn ; koijen, ralph ; Koijen,Ralph S. J., ; Van Hemert, Otto ; Koijen, Ralph S. J., .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:93:y:2009:i:2:p:292-324.

    Full description at Econpapers || Download paper

  33. The effects of default and call risk on bond duration. (2009). Anderson, Bing ; Xie, Yan Alice ; Liu, Sheen ; Wu, Chunchi.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:33:y:2009:i:9:p:1700-1708.

    Full description at Econpapers || Download paper

  34. Systematic equity-based credit risk: A CEV model with jump to default. (2009). Sbuelz, Alessandro ; Polbennikov, Simon ; Campi, Luciano .
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:33:y:2009:i:1:p:93-108.

    Full description at Econpapers || Download paper

  35. Specification analysis of structural credit risk models. (2008). Zhou, Hao ; Huang, Jingzhi.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2008-55.

    Full description at Econpapers || Download paper

  36. Make-whole call provisions: A case of much ado about nothing?. (2008). Stock, Duane ; Nayar, Nandkumar .
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:14:y:2008:i:4:p:387-404.

    Full description at Econpapers || Download paper

  37. What Is the Cost of Financial Flexibility? Theory and Evidence for Make-Whole Call Provisions. (2008). Powers, Eric ; Tsyplakov, Sergey .
    In: Financial Management.
    RePEc:bla:finmgt:v:37:y:2008:i:3:p:485-512.

    Full description at Econpapers || Download paper

  38. An empirical study of corporate bond pricing with unobserved capital structure dynamics.. (2007). Maclachlan, Iain C.
    In: MPRA Paper.
    RePEc:pra:mprapa:28416.

    Full description at Econpapers || Download paper

  39. Mortgage Timing. (2007). Van Nieuwerburgh, Stijn ; koijen, ralph ; Van Hemert, Otto ; Ralph S. J Koijen, .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13361.

    Full description at Econpapers || Download paper

  40. On forecasting the term structure of credit spreads. (2007). Thomson, James ; C. N. V. Krishnan, ; Ritchken, Peter H..
    In: Working Papers (Old Series).
    RePEc:fip:fedcwp:0705.

    Full description at Econpapers || Download paper

  41. Bond durations: Corporates vs. Treasuries. (2007). Munk, Claus ; Kraft, Holger.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:31:y:2007:i:12:p:3720-3741.

    Full description at Econpapers || Download paper

  42. The Derivatives Sourcebook. (2006). Scholes, Myron ; merton, robert ; Lo, Andrew ; Lim, Terence.
    In: Foundations and Trends(R) in Finance.
    RePEc:now:fntfin:0500000005.

    Full description at Econpapers || Download paper

  43. CREDIT RISK MODELS II: STRUCTURAL MODELS. (2006). Elizalde, Abel.
    In: Working Papers.
    RePEc:cmf:wpaper:wp2006_0606.

    Full description at Econpapers || Download paper

  44. Assessing Credit with Equity: A CEV Model with Jump to Default. (2005). Campi, Luciano ; Polbennikov, Simon ; Sbuelz, .
    In: Working Papers.
    RePEc:ver:wpaper:24/2005.

    Full description at Econpapers || Download paper

  45. Credit risk modeling with affine processes. (2005). Duffie, Darrell.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:29:y:2005:i:11:p:2751-2802.

    Full description at Econpapers || Download paper

  46. Incorporating Systemic Influences Into Risk Measurements: A Survey of the Literature. (2004). Allen, Linda ; Saunders, Anthony.
    In: Journal of Financial Services Research.
    RePEc:kap:jfsres:v:26:y:2004:i:2:p:161-191.

    Full description at Econpapers || Download paper

  47. Firm and Corporate Bond Valuation: A Simulation Dynamic Programming Approach. (2004). Castillo, Augusto .
    In: Latin American Journal of Economics-formerly Cuadernos de Economía.
    RePEc:ioe:cuadec:v:41:y:2004:i:124:p:345-360.

    Full description at Econpapers || Download paper

  48. Effective duration of callable corporate bonds: Theory and evidence. (2004). Hong, Gwangheon ; Sarkar, Sudipto.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:28:y:2004:i:3:p:499-521.

    Full description at Econpapers || Download paper

  49. Structural RFV : Recovery Form and Defaultable Debt Analysis. (2003). Sbuelz, A ; Guha, R.
    In: Other publications TiSEM.
    RePEc:tiu:tiutis:841ad1ef-22f2-4ea8-b19b-507952001550.

    Full description at Econpapers || Download paper

  50. Structural RFV : Recovery Form and Defaultable Debt Analysis. (2003). Sbuelz, A. ; Guha, R..
    In: Discussion Paper.
    RePEc:tiu:tiucen:841ad1ef-22f2-4ea8-b19b-507952001550.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-27 01:09:04 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.