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  • Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds

    Author(s):
    Tim Xiao (see profile)
    Date:
    2020
    Group(s):
    Business Management
    Subject(s):
    Sociology of finance
    Item Type:
    Article
    Tag(s):
    jump diffusion, convertible bond, convertible underpricing, convertible arbitrage, default time approach, default probability approach
    Search term matches:
    Title
    ... Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds ...
    Tag
    ... convertible bond ...
    Full Text
    ... risk modeling. To correctly value hybrid defaultable financial instruments, e.g., convertible bonds, we ...

  • A Simple and Precise Method for Pricing Convertible Bond with Credit Risk

    Author(s):
    Tim Xiao (see profile)
    Date:
    2014
    Group(s):
    Business Management, Scholarly Communication
    Subject(s):
    Value theory, Sociology of finance, Economics
    Item Type:
    Article
    Tag(s):
    hybrid financial instrument, convertible bond, convertible underpricing, convertible arbitrage, default time approach
    Search term matches:
    Title
    ... A Simple and Precise Method for Pricing Convertible Bond with Credit Risk ...
    Tag
    ... convertible bond ...
    Full Text
    ... A Simple and Precise Method for Pricing Convertible Bond with Credit Risk Tim Xiao1 ...

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    • Value theory 1X
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    • Article 2X
  • Date
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    • 2014 1X
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