In this article, we derive a binary tree–based model for convertible bond valuation subject to
credit risk modeling. Our model, which belongs to the framework known as equity to credit …

Contingent convertible (CoCo) bonds comprise a specialized market segment of the contingent
capital market, an instrument that offers a valuation challenge to investment professionals…

In the present paper we fill an essential gap in the Convertible Bonds pricing world by deriving
a Binary Tree based model for valuation subject to credit risk. This model belongs to the …

The aim of the present research is to provide a new CoCo bond pricing method to assist
analyses of both equity investors and fixed income investors. For this reason, we develop …

In this chapter we concentrate at the most popular model for convertible bond (CB) valuation
in a one-factor, stochastic underlying stock price setting. Through the last decade, the …

In the present paper we show that the Binomial-tree approach for pricing, hedging, and risk
assessment of Convertible bonds in the framework of the Tsiveriotis-Fernandes model has …

… Krasimir Milanov has defended his PhD thesis in this area, and the novel models developed
have received a significant recognition in terms of journal publications as well as from the …

… 1 FinAnalytica Ltd, Sofia E-mail: krasimir.milanov@finanalytica.com 2 Institute of
Information Technologies, 1113 Sofia E-mail: Lkirilov@iinf.bas.bg … 1 FinAnalytica Ltd …

In this paper we give necessary condition for the solution of the optimal portfolio problem. In
the proposed model it has a close relation to the classical problem of the optimal control in a …

Collaboration among academic authors promotes innovation and research productivity and
increases the quality of published papers. The aim of this paper is to investigate …