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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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