Download or read book Revisiting Optimal Call Policy for Convertibles written by Alexander W. Butler and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: When a company calls its convertible bonds, it typically must give the convertible bondholders a notice period of approximately 30 days to decide whether to convert the bonds. This important institutional detail substantially affects the optimal call policy for convertible bonds. When the company calls the bonds, it fixes the price at which bondholders can redeem them, effectively giving bondholders a 30-day put option. The optimal time to call the convertibles minimizes the value of the conversion option net of the put option. This optimization problem is solved here, and a simple decision rule for the company results. This solution contains those of previous researchers as a special case.

Download or read book Valuation of Convertible Bonds when Investors Act Strategically written by Christian Koziol and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt: Christian Koziol shows that various conversion strategies for convertible bonds can be optimal which result in different values for stocks and convertible bonds. A comparative static analysis examines the differences between the properties of the optimal conversion strategies and between the asset values for three conversion variants.

Download or read book Optimal Policies of Call with Notice Period Requirement for Callable American Warrants and Convertible Bonds written by Min Dai and published by . This book was released on 2006 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: When an American warrant or convertible bond is called by its issuer, the holder is usually given a notice period to decide either selling the derivative back to the issuer at the call price or exercising the conversion right. Several earlier papers have shown that such notice period requirement may substantially affect the optimal call policy adopted by the issuer. In this paper, we perform theoretical studies on the impact of the notice period requirement on issuer's optimal call policy for American warrants and convertible bonds. We also examine how the optimal call policy of the issuer interacts with holder's optimal conversion policy.

Download or read book Convertible Bond Calls Revisited written by Timothy Brian Michael and published by . This book was released on 2003 with total page 182 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Market Risk Analysis Pricing Hedging and Trading Financial Instruments written by Carol Alexander and published by John Wiley & Sons. This book was released on 2008-06-09 with total page 427 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by leading market risk academic, Professor Carol Alexander, Pricing, Hedging and Trading Financial Instruments forms part three of the Market Risk Analysis four volume set. This book is an in-depth, practical and accessible guide to the models that are used for pricing and the strategies that are used for hedging financial instruments, and to the markets in which they trade. It provides a comprehensive, rigorous and accessible introduction to bonds, swaps, futures and forwards and options, including variance swaps, volatility indices and their futures and options, to stochastic volatility models and to modelling the implied and local volatility surfaces. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM . Empirical examples and case studies specific to this volume include: Duration-Convexity approximation to bond portfolios, and portfolio immunization; Pricing floaters and vanilla, basis and variance swaps; Coupon stripping and yield curve fitting; Proxy hedging, and hedging international securities and energy futures portfolios; Pricing models for European exotics, including barriers, Asians, look-backs, choosers, capped, contingent, power, quanto, compo, exchange, ‘best-of’ and spread options; Libor model calibration; Dynamic models for implied volatility based on principal component analysis; Calibration of stochastic volatility models (Matlab code); Simulations from stochastic volatility and jump models; Duration, PV01 and volatility invariant cash flow mappings; Delta-gamma-theta-vega mappings for options portfolios; Volatility beta mapping to volatility indices.

Download or read book Market Risk Analysis Boxset written by Carol Alexander and published by John Wiley & Sons. This book was released on 2009-02-24 with total page 1691 pages. Available in PDF, EPUB and Kindle. Book excerpt: Market Risk Analysis is the most comprehensive, rigorous and detailed resource available on market risk analysis. Written as a series of four interlinked volumes each title is self-contained, although numerous cross-references to other volumes enable readers to obtain further background knowledge and information about financial applications. Volume I: Quantitative Methods in Finance covers the essential mathematical and financial background for subsequent volumes. Although many readers will already be familiar with this material, few competing texts contain such a complete and pedagogical exposition of all the basic quantitative concepts required for market risk analysis. There are six comprehensive chapters covering all the calculus, linear algebra, probability and statistics, numerical methods and portfolio mathematics that are necessary for market risk analysis. This is an ideal background text for a Masters course in finance. Volume II: Practical Financial Econometrics provides a detailed understanding of financial econometrics, with applications to asset pricing and fund management as well as to market risk analysis. It covers equity factor models, including a detailed analysis of the Barra model and tracking error, principal component analysis, volatility and correlation, GARCH, cointegration, copulas, Markov switching, quantile regression, discrete choice models, non-linear regression, forecasting and model evaluation. Volume III: Pricing, Hedging and Trading Financial Instruments has five very long chapters on the pricing, hedging and trading of bonds and swaps, futures and forwards, options and volatility as well detailed descriptions of mapping portfolios of these financial instruments to their risk factors. There are numerous examples, all coded in interactive Excel spreadsheets, including many pricing formulae for exotic options but excluding the calibration of stochastic volatility models, for which Matlab code is provided. The chapters on options and volatility together constitute 50% of the book, the slightly longer chapter on volatility concentrating on the dynamic properties the two volatility surfaces the implied and the local volatility surfaces that accompany an option pricing model, with particular reference to hedging. Volume IV: Value at Risk Models builds on the three previous volumes to provide by far the most comprehensive and detailed treatment of market VaR models that is currently available in any textbook. The exposition starts at an elementary level but, as in all the other volumes, the pedagogical approach accompanied by numerous interactive Excel spreadsheets allows readers to experience the application of parametric linear, historical simulation and Monte Carlo VaR models to increasingly complex portfolios. Starting with simple positions, after a few chapters we apply value-at-risk models to interest rate sensitive portfolios, large international securities portfolios, commodity futures, path dependent options and much else. This rigorous treatment includes many new results and applications to regulatory and economic capital allocation, measurement of VaR model risk and stress testing.

Download or read book The Derivatives Sourcebook written by Terence Lim and published by Now Publishers Inc. This book was released on 2006 with total page 225 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Derivatives Sourcebook is a citation study and classification system that organizes the many strands of the derivatives literature and assigns each citation to a category. Over 1800 research articles are collected and organized into a simple web-based searchable database. We have also included the 1997 Nobel lectures of Robert Merton and Myron Scholes as a backdrop to this literature.

Download or read book Rethinking Valuation and Pricing Models written by Carsten Wehn and published by Academic Press. This book was released on 2012-11-08 with total page 658 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is widely acknowledged that many financial modelling techniques failed during the financial crisis, and in our post-crisis environment many techniques are being reconsidered. This single volume provides a guide to lessons learned for practitioners and a reference for academics. Including reviews of traditional approaches, real examples, and case studies, contributors consider portfolio theory; methods for valuing equities and equity derivatives, interest rate derivatives, and hybrid products; and techniques for calculating risks and implementing investment strategies. Describing new approaches without losing sight of their classical antecedents, this collection of original articles presents a timely perspective on our post-crisis paradigm. Highlights pre-crisis best classical practices, identifies post-crisis key issues, and examines emerging approaches to solving those issues Singles out key factors one must consider when valuing or calculating risks in the post-crisis environment Presents material in a homogenous, practical, clear, and not overly technical manner

Download or read book An Investigation Into the Optimal Call Premium for Callable Convertible Bonds written by Gerald William Buetow and published by . This book was released on 1993 with total page 370 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Foundations and Trends in Finance written by and published by . This book was released on 2005 with total page 926 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Analyzing Callable and Convertible Bonds When the Modigliani Miller Assumptions are Violated written by Chris Hennessy and published by . This book was released on 2005 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze callable, convertible, and callable-convertible bonds in a dynamic model with restructuring, taxation, and transaction/bankruptcy costs. In this setting, calling when conversion value equals call price is not generally optimal. Late (early) calls are optimal when the conversion ratio is high (low) and the debt coupon is low (high). If volatility is fixed, pure callable bonds with a substantial call premium maximize firm value, committing equity to second-best restructuring policies. Convertibles are dominated in this context, since the backdoor equity component of the bond is tax-inefficient. The model is extended to allow for instantaneous risk shifting. Call provisions shorten effective maturity, but are not sufficient to induce hedging. Convertible bonds induce hedging, and the optimal conversion ratio trades off incentive provision against tax costs. Convertibles dominate pure callable bonds only when costs of risk shifting are sufficiently high. Although they mitigate risk shifting incentives, no convertible bond can induce global hedging, since equity is infinitely risk loving near default. In addition, convertible bonds exacerbate underinvestment incentives, since conversion privileges reduce marginal q.

Download or read book The Handbook of Convertibles written by Simon R. McGuire and published by New York : New York Institute of Finance. This book was released on 1991 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt: Extremely practical and comprehensive reference to convertible securities. Provides actual case examples walking readers through the calculations involved.

Download or read book Rethinking Family school Relations written by Maria Eulina de Carvalho and published by Routledge. This book was released on 2000-10-01 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book addresses the complications and implications of parental involvement as a policy, through an exploratory theoretical approach, including historical and sociological accounts and personal reflection. This approach represents the author's effort to understand the origins, meanings, and effects of parental involvement as a prerequisite of schooling and particularly as a policy 'solution' for low achievement and even inequity in the American educational system. Most of the policy and research discourse on school-family relations exalts the partnership ideal, taking for granted its desirability and viability, the perspective of parents on specific involvement in instruction, and the conditions of diverse families in fulfilling their appointed role in the partnership. De Carvalho takes a distinct stance. She argues that the partnership-parental ideal neglects several major factors: It proclaims parental involvement as a means to enhance (and perhaps equalize) school outcomes, but disregards how family material and cultural conditions, and feelings about schooling, differ according to social class; thus, the partnership-parental involvement ideal is more likely to be a projection of the model of upper-middle class, suburban community schooling than an open invitation for diverse families to recreate schooling. Although it appeals to the image of the traditional community school, the pressure for more family educational accountability really overlooks history as well as present social conditions. Finally, family-school relations are relations of power, but most families are powerless. De Carvalho makes the case that two linked effects of this policy are the gravest: the imposition of a particular parenting style and intrusion into family life, and the escalation of educational inequality. Rethinking Family-School Relations: A Critique of Parental Involvement in Schooling--a carefully researched and persuasively argued work--is essential reading for all school professionals, parents, and individuals concerned with public schooling and educational equality.

Download or read book Business Periodicals Index written by and published by . This book was released on 2002 with total page 2358 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Callable Convertible Bonds written by Tanweer Hasan and published by . This book was released on 1993 with total page 110 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Handbook Of Financial Econometrics Mathematics Statistics And Machine Learning In 4 Volumes written by Cheng Few Lee and published by World Scientific. This book was released on 2020-07-30 with total page 5053 pages. Available in PDF, EPUB and Kindle. Book excerpt: This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.

Download or read book Dissertation Abstracts International written by and published by . This book was released on 2003 with total page 620 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstracts of dissertations available on microfilm or as xerographic reproductions.