Author: Krister Rindell
Publisher:
ISBN: 9789515554475
Category : Capital assets pricing model
Languages : en
Pages : 96
Book Description
Essays on contingent claims pricing
Author: Krister Rindell
Publisher:
ISBN: 9789515554475
Category : Capital assets pricing model
Languages : en
Pages : 96
Book Description
Publisher:
ISBN: 9789515554475
Category : Capital assets pricing model
Languages : en
Pages : 96
Book Description
Three Essays on Contingent Claims Pricing
Three Essays on Contingent Claims Pricing
Essays on Contingent Claims Pricing
Author: Jesper Andreasen
Publisher:
ISBN:
Category : Contingencies in finance
Languages : en
Pages :
Book Description
Publisher:
ISBN:
Category : Contingencies in finance
Languages : en
Pages :
Book Description
Five Essays on the Pricing of Contingent Claims
Author: Leif B. G. Andersen
Publisher:
ISBN: 9788789695358
Category :
Languages : en
Pages :
Book Description
Publisher:
ISBN: 9788789695358
Category :
Languages : en
Pages :
Book Description
Essays on Contingent Claims Pricing Subject to Credit Risk
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
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.
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
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.
Essays on Contingent Claim Pricing
Author: Zhiqiang Sun (Ph. D.)
Publisher:
ISBN:
Category :
Languages : en
Pages : 248
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 248
Book Description
Essays in Contingent Claims
Author: Arjuna Indraeswaran Rajasingham
Publisher:
ISBN:
Category :
Languages : en
Pages : 210
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 210
Book Description
Essays on Contingent Claim Pricing
Author: Jesper Fredborg Andreasen
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Two Essays in the Theory of Competitive Markets for Contingent Claims
Author: Susan Ellen Woodward
Publisher:
ISBN:
Category : Securities
Languages : en
Pages : 196
Book Description
Publisher:
ISBN:
Category : Securities
Languages : en
Pages : 196
Book Description