Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Pricing Contingent Convertibles using an EquityDerivatives Jump Diusion Approach
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics. (Matematisk statistik)
2012 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

This paper familiarizes the reader with contingent convertibles and their role in the current financial landscape. A contingent convertible is a security behaving like a bond in normal times, but that converts into equity or is written down in times of turbulence. The paper presents a few existing pricing approaches and introduces an extension to one of these, the equity derivatives approach, by letting the underlying asset follow a jump-diffusion process instead of a standard Geometrical Brownian Motion. The extension requires sophisticated computational techniques in order for the pricing to stay within reasonable time frames. Since market data is sparse and incomplete in this area, the validation of the model is not performed quantitatively, but instead supported by qualitative arguments.

Place, publisher, year, edition, pages
2012. , 54 p.
Series
Trita-MAT. MS, 2012:2
Keyword [en]
Contingent Convertible, CoCo, jump-diusion, pricing, adaptive mesh model
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:kth:diva-105549OAI: oai:DiVA.org:kth-105549DiVA: diva2:571418
External cooperation
SAS Institute
Subject / course
Mathematical Statistics
Educational program
Master of Science in Engineering - Industrial Engineering and Management
Uppsok
Physics, Chemistry, Mathematics
Supervisors
Examiners
Available from: 2012-11-22 Created: 2012-11-22 Last updated: 2012-11-22Bibliographically approved

Open Access in DiVA

fulltext(246 kB)295 downloads
File information
File name FULLTEXT01.pdfFile size 246 kBChecksum SHA-512
074c3368ecee2d8c32186dbfd6fc64beffdeb801b388d5c52af10378abc0a668b124ffa30c8052cd6af800fa47dd2b6c56c405cb44a64ac5ebfcc420422ed8e5
Type fulltextMimetype application/pdf

By organisation
Mathematical Statistics
Probability Theory and Statistics

Search outside of DiVA

GoogleGoogle Scholar
Total: 295 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

urn-nbn

Altmetric score

urn-nbn
Total: 260 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf