The Experts below are selected from a list of 2208 Experts worldwide ranked by ideXlab platform

Zhu Dan - One of the best experts on this subject based on the ideXlab platform.

Fang Zhao - One of the best experts on this subject based on the ideXlab platform.

Wu Xiao-rui - One of the best experts on this subject based on the ideXlab platform.

  • Convertible Bond pricing under stochastic interest rate
    Journal of Xi'an Polytechnic University, 2011
    Co-Authors: Wu Xiao-rui
    Abstract:

    Stocks price process follows stochastic differential equation driven by fractional Brownian motion,and interest rate satisfies the Hull-White model driven by fractional Brownian motion.The Convertible Bond pricing mathematic model under stochastic interest rate is built by fractional Brownian motion stochastic analysis theory and method,and the pricing formula for Convertible Bond is obtained.

Fan Xin - One of the best experts on this subject based on the ideXlab platform.

  • The Optimal Call Policy for Convertible Bond under Discrete Time Condition
    2001
    Co-Authors: Fan Xin, Ustc Hefei
    Abstract:

    The optimal call policy for Convertible Bond not only can point out the optimal occasion for firms' calling,but also is a premise to Convertible Bond pricing. In contrast with those under continuous time condition,Convertible Bonds under discrete time condition have two different points:one is that trading takes place only on discrete time points,the other is that the coupons for Convertible Bonds and the dividends for underlying stock are paid discretely. This paper presents the optimal call policy for Convertible Bonds under discrete time condition verifies that it converges to the optimal policy under continuous trading condition when the time spread between two adjacent trading points approaches zero.

  • Duration and Convexity Method in Forecasting the Interest Rate Risk of Convertible Bond
    2000
    Co-Authors: Fan Xin
    Abstract:

    This paper presents the Duration and Convexity Method in evaluating the interest rate risk of Convertible Bond. Since the value of Convertible Bond can be viewed as portfolios of pure common Bond and embedded options, we calculate the duration and convexity of both Convertible Bonds without call provision and those with call provision.

Samira Shirgir - One of the best experts on this subject based on the ideXlab platform.

  • Issuing a Convertible Bond withCall-Spread Overlay: Incorporatingthe Effects of Convertible Arbitrage
    2015
    Co-Authors: Samira Shirgir
    Abstract:

    In recent years companies issuing Convertible Bonds enter into some transactions simul- taneously in order to mitigate some of the negative impacts of issuing Convertible Bonds such as the dilution of existing shares. One of the popular concurrent transactions is a call-spread overlay which is intended to reduce the dilution impact. This thesis explores the motivation for using these combined transactions from the perspective of the issuers, investors, and underwriters. We apply a binomial method to price the Convertible Bonds with call-spread which are subject to default risk. Based on previous empirical studies Convertible Bond issuers experience a drop in their stock price due to the activities of Convertible Bond arbitrageurs when the issuance of Convertible Bonds is announced. We propose a model to estimate the drop in the stock price due to Convertible Bond arbitrage activities, at the time of planning the issue and designing the security that will be offered. We examine the features of the model with simulated and real-world data.

  • Issuing a Convertible Bond with Call-Spread Overlay: Incorporating the Effects of Convertible Arbitrage
    2015
    Co-Authors: Samira Shirgir
    Abstract:

    Issuing a Convertible Bond with Call-Spread Overlay: Incorporating the Effects of Convertible Arbitrage Samira Shirgir In recent years companies issuing Convertible Bonds enter into some transactions simultaneously in order to mitigate some of the negative impacts of issuing Convertible Bonds such as the dilution of existing shares. One of the popular concurrent transactions is a call-spread overlay which is intended to reduce the dilution impact. This thesis explores the motivation for using these combined transactions from the perspective of the issuers, investors, and underwriters. We apply a binomial method to price the Convertible Bonds with call-spread which are subject to default risk. Based on previous empirical studies Convertible Bond issuers experience a drop in their stock price due to the activities of Convertible Bond arbitrageurs when the issuance of Convertible Bonds is announced. We propose a model to estimate the drop in the stock price due to Convertible Bond arbitrage activities, at the time of planning the issue and designing the security that will be offered. We examine the features of the model with simulated and real-world data.