Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Three Essays On Contingent Claims Pricing
Download Three Essays On Contingent Claims Pricing full books in PDF, epub, and Kindle. Read online Three Essays On Contingent Claims Pricing ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Book Synopsis Three Essays on Contingent Claims Pricing by : Anlong Li
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:
Book Synopsis Three Essays on Contingent Claims Pricing by : David Lando
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:
Book Synopsis Essays on Contingent Claims Pricing Subject to Credit Risk by :
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.
Book Synopsis Three Essays on Contingent Claims by : Jamil Baz
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:
Book Synopsis Essays on Contingent Claims Pricing by : Jesper Andreasen
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:
Book Synopsis Five Essays on the Pricing of Contingent Claims by : Leif B. G. Andersen
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:
Book Synopsis Essays on Contingent Claim Pricing by : Zhiqiang Sun (Ph. D.)
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:
Book Synopsis Essays in Contingent Claims by : Arjuna Indraeswaran Rajasingham
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:
Book Synopsis Essays on Contingent Claim Pricing by : Jesper Fredborg Andreasen
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:
Book Synopsis Three Essays on Contingent Claim Valuation in Incomplete Markets by : 蔡宏洲
Download or read book Three Essays on Contingent Claim Valuation in Incomplete Markets written by 蔡宏洲 and published by . This book was released on 2007 with total page 166 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays in Asset Pricing Theory by : Lionel Martellini
Download or read book Three Essays in Asset Pricing Theory written by Lionel Martellini and published by . This book was released on 2000 with total page 390 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Two Essays in the Theory of Competitive Markets for Contingent Claims by : Susan Ellen Woodward
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:
Book Synopsis Essays on Contingent Claims by : Gonzalo Cortazar
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:
Book Synopsis Contingent Claim Pricing with Applications to Financial Risk Management by : Hua Chen
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.
Book Synopsis Essays in Contingent Claims Analysis by : Kenneth F. McKay
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:
Book Synopsis Essays on the Valuation Problems of Contingent Claims by : Akihiko Takahashi
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:
Book Synopsis World Scientific Reference On Contingent Claims Analysis In Corporate Finance (In 4 Volumes) by : Michel Crouhy
Download or read book World Scientific Reference On Contingent Claims Analysis In Corporate Finance (In 4 Volumes) written by Michel Crouhy and published by World Scientific. This book was released on 2019-01-21 with total page 2039 pages. Available in PDF, EPUB and Kindle. Book excerpt: Black and Scholes (1973) and Merton (1973, 1974) (hereafter referred to as BSM) introduced the contingent claim approach (CCA) to the valuation of corporate debt and equity. The BSM modeling framework is also named the 'structural' approach to risky debt valuation. The CCA considers all stakeholders of the corporation as holding contingent claims on the assets of the corporation. Each claim holder has different priorities, maturities and conditions for payouts. It is based on the principle that all the assets belong to all the liability holders.The BSM modeling framework gives the basic fundamental version of the structural model where default is assumed to occur when the net asset value of the firm at the maturity of the pure-discount debt becomes negative, i.e., market value of the assets of the firm falls below the face value of the firm's liabilities. In a regime of limited liability, the shareholders of the firm have the option to default on the firm's debt. Equity can be viewed as a European call option on the firm's assets with a strike price equal to the face value of the firm's debt. Actually, CCA can be used to value all the components of the firm's liabilities, equity, warrants, debt, contingent convertible debt, guarantees, etc.In the four volumes we present the major academic research on CCA in corporate finance starting from 1973, with seminal papers of Black and Scholes (1973) and Merton (1973, 1974). Volume I covers the foundation of CCA and contributions on equity valuation. Volume II focuses on corporate debt valuation and the capital structure of the firm. Volume III presents empirical evidence on the valuation of debt instruments as well as applications of the CCA to various financial arrangements. The papers in Volume IV show how to apply the CCA to analyze sovereign credit risk, contingent convertible bonds (CoCos), deposit insurance and loan guarantees. Volume 1: Foundations of CCA and Equity ValuationVolume 1 presents the seminal papers of Black and Scholes (1973) and Merton (1973, 1974). This volume also includes papers that specifically price equity as a call option on the corporation. It introduces warrants, convertible bonds and taxation as contingent claims on the corporation. It highlights the strong relationship between the CCA and the Modigliani-Miller (M&M) Theorems, and the relation to the Capital Assets Pricing Model (CAPM). Volume 2: Corporate Debt Valuation with CCAVolume 2 concentrates on corporate bond valuation by introducing various types of bonds with different covenants as well as introducing various conditions that trigger default. While empirical evidence indicates that the simple Merton's model underestimates the credit spreads, additional risk factors like jumps can be used to resolve it. Volume 3: Empirical Testing and Applications of CCAVolume 3 includes papers that look at issues in corporate finance that can be explained with the CCA approach. These issues include the effect of dividend policy on the valuation of debt and equity, the pricing of employee stock options and many other issues of corporate governance. Volume 4: Contingent Claims Approach for Banks and Sovereign DebtVolume 4 focuses on the application of the contingent claim approach to banks and other financial intermediaries. Regulation of the banking industry led to the creation of new financial securities (e.g., CoCos) and new types of stakeholders (e.g., deposit insurers).