Three Essays On Contingent Claims Pricing

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Three Essays On Contingent Claims Pricing

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Author : David Lando
language : en
Publisher:
Release Date : 1994

Three Essays On Contingent Claims Pricing written by David Lando and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with Credit categories.

Three Essays On Contingent Claims Pricing

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Author : Anlong Li
language : en
Publisher:
Release Date : 1992

Three Essays On Contingent Claims Pricing written by Anlong Li and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with categories.

Essays On Contingent Claims Pricing Subject To Credit Risk

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Author :
language : en
Publisher:
Release Date :

Essays On Contingent Claims Pricing Subject To Credit Risk written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on with categories.

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.

Three Essays On Contingent Claims

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Author : Jamil Baz
language : en
Publisher:
Release Date : 1995

Three Essays On Contingent Claims written by Jamil Baz and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with Swaps (Finance) categories.

Five Essays On The Pricing Of Contingent Claims

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Author : Leif B. G. Andersen
language : en
Publisher:
Release Date : 1996

Five Essays On The Pricing Of Contingent Claims written by Leif B. G. Andersen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with categories.

Essays On Contingent Claims Pricing

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Author : Jesper Andreasen
language : en
Publisher:
Release Date : 1997

Essays On Contingent Claims Pricing written by Jesper Andreasen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with Contingencies in finance categories.

Three Essays On Contingent Claim Valuation In Incomplete Markets

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Author : 蔡宏洲
language : en
Publisher:
Release Date : 2007

Three Essays On Contingent Claim Valuation In Incomplete Markets written by 蔡宏洲 and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.

Three Essays In Asset Pricing Theory

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Author : Lionel Martellini
language : en
Publisher:
Release Date : 2000

Three Essays In Asset Pricing Theory written by Lionel Martellini and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with categories.

Essays On Contingent Claim Pricing

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Author : Jesper Fredborg Andreasen
language : en
Publisher:
Release Date : 1997

Essays On Contingent Claim Pricing written by Jesper Fredborg Andreasen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with categories.

Essays In Contingent Claims

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Author : Arjuna Indraeswaran Rajasingham
language : en
Publisher:
Release Date : 1989

Essays In Contingent Claims written by Arjuna Indraeswaran Rajasingham and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989 with categories.