Two-factor convertible bonds valuation using the method of characteristics/finite elements

G Barone-Adesi, A Bermúdez… - Journal of Economic …, 2003 - Elsevier
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 …

151 Trading Strategies

Z Kakushadze, JA Serur - Z. Kakushadze and JA Serur, 2018 - papers.ssrn.com
We provide detailed descriptions, including over 550 mathematical formulas, for over 150
trading strategies across a host of asset classes (and trading styles). This includes stocks …

A numerical PDE approach for pricing callable bonds

Y d'Halluin, PA Forsyth, KR Vetzal… - Applied Mathematical …, 2001 - Taylor & Francis
Many debt issues contain an embedded call option that allows the issuer to redeem the
bond at specified dates for a specified price. The issuer is typically required to provide …

[HTML][HTML] Risk management and agency theory: Role of the put option in corporate bonds

M Tewari, P Ramanlal - Journal of Risk and Financial Management, 2022 - mdpi.com
This study sets out a new methodology to exemplify, through a set of risk metrics called the
Greeks, impact of a bond's structured provisions (eg, call, put, and conversion options) on its …

Environmental liabilities, bond ratings, and bond yields

A Graham, JJ Maher - Environmental accounting, 2006 - emerald.com
We examine the relationship that exists among bond ratings, bond yields, and various
estimates of a firm's contingent environmental remediation liability using a sample of new …

[BOOK][B] Puttable and extendible bonds: developing interest rate derivatives for emerging markets

SN Neftci, MA Santos - 2003 - books.google.com
This paper analyzes the price stabilizing properties of puttable and extendible bonds, their
potential to help develop interest-rate derivative markets, and their use by governments …

[PDF][PDF] Putable Bonds, Risk Shifting Problems, and Information Asymmetry

THD King, T Piao, CX Zhang - The Journal of Fixed Income, 2022 - efmaefm.org
This study presents an empirical examination of issuers' motives to issue putable bonds
using a comprehensive sample of putable and straight debt issues from 1976 to 2019. We …

[PDF][PDF] Is the Put Option in US Structured Bonds Good for Both Bondholders and Stockholders?

M Tewari, P Ramanlal - 2010 - researchgate.net
The recent financial crisis has brought into spotlight various financially engineered products,
their design parameters, and the impact of these design parameters on the bondholders and …

Puttable and extendible bonds: Developing interest rate derivatives for emerging markets

AO Santos, SN Neftci - 2003 - papers.ssrn.com
This paper analyzes the price stabilizing properties of puttable and extendible bonds, their
potential to help develop interest-rate derivative markets, and their use by governments …

Die Rettung der Credit Suisse und ihre Auswirkungen auf den Markt der europäischen AT1-Anleihen: eine empirische Analyse: an empirical analysis

C Pöllinger - unipub.uni-graz.at
Als die internationale Großbank Credit Suisse im März 2023 in finanzielle Schwierigkeiten
geriet und von der Schweizer Nationalbank gerettet werden musste, hatte sie AT1-Bonds in …