Download or read book Essays on contingent claims pricing written by Krister Rindell and published by . This book was released on 1994 with total page 96 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Contingent Claims Pricing written by Anlong Li and published by . This book was released on 1992 with total page 266 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Contingent Claims Pricing written by David Lando and published by . This book was released on 1994 with total page 292 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Five Essays on the Pricing of Contingent Claims written by Leif B. G. Andersen and published by . This book was released on 1996 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Contingent Claims Pricing written by Jesper Andreasen and published by . This book was released on 1997 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Contingent Claims Pricing Subject to Credit Risk written by and published by . This book was released on with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation includes three essays, which investigate contingent claims pricing subject to credit risk based on the structural approach and analyze associated issues of corporate finance. The first essay develops and examines a partial equilibrium model to investigate the effects of macroeconomic condition and firm-level productivity shocks on the determination of optimal debt ratio. The model extends the contingent-claims models of the firm's capital structure by incorporating both the industry demand and firm-level supply factors into the firm's earnings and unlevered asset value. Our model predicts that the optimal debt ratio is negatively correlated to the macroeconomic conditions and the firm-level productivity. Furthermore, the theoretical implications are totally supported by the pooled feasible generalized least squares estimation with 311 Taiwanese listed manufacturing firms' quarterly data over the period from 1994 to 2003. The differences between the high-tech electronics and other manufacturing firms are also investigated, and particularly the high-tech firms are not tied up with the macroeconomic conditions while the others are. The second essay presents a contingent claim valuation of a callable convertible bond with the issuer's credit risk. The optimal call, voluntary conversion and bankruptcy strategies are jointly determined by shareholders and bondholders to maximize the equity value and the bond value, respectively. Our model not only incorporates tax benefits, bankruptcy costs, refunding costs and a call notice period, but also takes account of the issuer's debt size and structure. The numerical results show that the predicted optimal call policies are generally consistent with recent empirical findings; therefore calling convertible bonds too late or too early can be rational. The third essay provides a closed-form valuation formula for the Black-Scholes options subject to interest rate risk and credit risk. Not only does our model allow f.

Download or read book Essays on Contingent Claim Pricing written by Zhiqiang Sun (Ph. D.) and published by . This book was released on 2003 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays in Contingent Claims written by Arjuna Indraeswaran Rajasingham and published by . This book was released on 1989 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Contingent Claim Pricing written by Jesper Fredborg Andreasen and published by . This book was released on 1997 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Two Essays in the Theory of Competitive Markets for Contingent Claims written by Susan Ellen Woodward and published by . This book was released on 1979 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Contingent Claim Pricing with Applications to Financial Risk Management written by Hua Chen and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a multi-essay dissertation designed to explore the contingent claim pricing theory with non-tradable underlying assets, with emphasis on its applications to insurance and risk management. In the first essay, I apply the real option pricing theory and dynamic programming methods to address problems in the area of operational risk management. Particularly, I develop a two-stage model to help firms determine optimal switching triggers in the event of an influenza epidemic. In the second essay, I examine mortality securitization in an incomplete market framework. I build a jump-diffusion process into the original Lee-Carter model and explore alternative model with transitory versus permanent jump effects. I discuss pricing difficulties of the Swiss Re mortality bond (2003) and use the Wang transform to account for correlations of the mortality index over time. In the third essay, I study the valuation of the non-recourse provision in reverse mortgages. I model the various risks embedded in the HECM program and apply the conditional Esscher transform to price the non-recourse provision. I further examine the premium structure of HECM loans and investigate whether insurance premiums are adequate to cover expected claims.

Download or read book Essays on Contingent Claims written by Gonzalo Cortazar and published by . This book was released on 1992 with total page 452 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on the Valuation Problems of Contingent Claims written by Akihiko Takahashi and published by . This book was released on 1995 with total page 338 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Contingent Claims written by Jamil Baz and published by . This book was released on 1995 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays in Contingent Claims Analysis written by Kenneth F. McKay and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on the Valuation of Contingent Claims written by In Joon Kim and published by . This book was released on 1987 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Five Essays on Contingent Claim Valuation written by Bjarke Jensen and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: