Valuation of Convertible bonds with credit risk

Journal of Derivatives

Volumn 11, Issue 1, 2003, Pages 9-29

  Ayache, E ^a   Forsyth, P A ^b   Vetzal, K R ^b  

^a SA   (France)

^b UNIVERSITY OF WATERLOO   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 85007581054     PISSN: 10741240     EISSN: None     Source Type: Journal    
DOI: 10.3905/jod.2003.319208     Document Type: Article

References (34)

1. Andersen, L., and D. Buffum. "Calibration and Implementation of Convertible Bond Models." Working paper, Banc of America Securities, 2003.
2. Arzac, E. R. "PERCS, DECS, and Other Mandatory Convertibles." Journal of Applied Corporate Finance, 10(1997), pp. 54-63.
3. Ayache, E. "The Discrete and the Continuous." Working paper, ITO 33, S. A., 2001 Available at: www.ito33.com/html/print/011001-discreet.pdf.
4. Ayache, E., K. R. Vetzal, and P. A. Forsyth. "Next Generation Models for Convertible Bonds with Credit Risk." Wilmott Magazine, December 2002, pp. 68-77.
5. Becker, J. "A Second Order Backward Difference Method with Variable Time Steps for a Parabolic Problem." BIT 38(1998), pp. 644-662.
6. Beneish, M. D., and E. Press. "Interrelation Among Events of Default." Contemporary Accounting Research, 12(1995), pp. 57-84.
7. Black, F., and J. C. Cox. "Valuing Corporate Securities: Some Effects of Bond Indenture Provisions." Journal of Finance, 31(1976), pp. 351-367.
8. Brennan, M. J., and E. S. Schwartz. "Analyzing Convertible Bonds." Journal of Financial and Quantitative Analysis, 15(1980), pp. 907-929.
9. -. "Convertible Bonds: Valuation and Optimal Strategies for Call and Conversion. " Journal of Finance, 32(1977), pp. 1699-1715.
10. Cheung, W., and I. Nelken. "Costing the Converts." Risk, 7(July 1994), pp. 47-49.
11. Clark, T. A., and M. I. Weinstein. "The Behavior of the Common Stock of Bankrupt Firms." Journal of Finance, 38(1983), pp. 489-504.
12. Davis, M., and F. R. Lischka. "Convertible Bonds with Market Risk and Credit Risk." Working paper, Tokyo-Mitsubishi International, 1999.
13. Duffie, D., and K. J. Singleton. "Modeling Term Structures of Defaultable Bonds." Review of Financial Studies, 12(1999), pp. 687-720.
14. Forsyth, P. A., and K. R. Vetzal. "Implicit Solution of Uncertain Volatility/Transaction Cost Option Pricing Models with Discretely Observed Barriers." Applied Numerical Mathematics, 36(2001), pp. 427-445.
15. -. "Quadratic Convergence for Valuing American Options Using a Penalty Method." SIAM Journal on Scientific Computation, 23(2002), pp. 2096-2123.
16. Hillion, P., and T. Vermaelen. "Death Spiral Convertibles." Working paper, INSEAD, 2001.
17. Ho, T. S. Y., and D. M. Pfeffer. "Convertible Bonds: Model, Value Attribution, and Analytics." Financial Analysts Journal, 52(September/October 1996), pp. 35-44.
18. Hull, J. Options, Futures and Other Derivatives, 5th ed. Upper Saddle River, NJ: Prentice-Hall, 2003.
19. Hung, M.-W., and J.-Y. Wang "Pricing Convertible Bonds Subject to Default Risk." The Journal of Derivatives, 10(Winter 2002), pp. 75-87.
20. Ingersoll, J., Jr. "A Contingent-Claims Valuation of Convertible Securities." Journal of Financial Economics, 4 (1977) pp. 289-322.
21. Jarrow, R. A., and S. M. Turnbull. "Pricing Derivative Securities on Financial Securities Subject to Credit Risk." Journal of Finance, 50(1995), pp. 53-85.
22. Longstaff, F. A., and E. S. Schwartz. "A Simple Approach to Valuing Risky Fixed and Floating Rate Debt." Journal of Finance 50(1995), pp. 789-819.
23. Madan, D., and H. Unal. "A Two-Factor Hazard Rate Model For Pricing Risky Debt and the Term Structure of Credit Spreads." Journal of Financial and Quantitative Analysis, 35(2000), pp. 43-65.
24. McConnell, J. J., and E. S. Schwartz. "LYON Taming." Journal of Finance, 41(1986), pp. 561-576.
25. Merton, R. C. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates." Journal of Finance, 29(1974), pp. 449-470.
26. Muromachi, Y. "The Growing Recognition of Credit Risk in Corporate and Financial Bond Markets." Working Paper 126, NLI Research Institute, 1999.
27. Nyborg, K. G. "The Use and Pricing of Convertible Bonds." Applied Mathematical Finance, 3(1996), pp. 167-190.
28. Rannacher, R. "Finite Element Solution of Diffusion Problems with Irregular Data." Numerische Mathematik, 43(1984), pp. 309-327.
29. Schultz, A. "In These Convertibles, A Smoother Route to Stocks." The New York Times, April 7, 2002.
30. Takahashi, A., T. Kobayashi, and N. Nakagawa. "Pricing Convertible Bonds With Default Risk." The Journal of Fixed Income, 11(December 2001), pp. 20-29.
31. Tsiveriotis, K., and C. Fernandes. "Valuing Convertible Bonds with Credit Risk." The Journal of Fixed Income, 8(September 1998), pp. 5-102.
32. "Valuing Convertible Bonds as Derivatives." Quantitative Strategies Research Note, Goldman Sachs, 1994.
33. Yigitbasioglu, A. B. "Pricing Convertible Bonds with Interest Rate, Equity, Credit and FX Risk." Discussion Paper 2001-14, ISMA Center, University of Reading, 2001. Available at: www.ismacentre.rdg.ac.uk.
34. Zvan, R., P. A. Forsyth, and K. R. Vetzal. "A Finite Volume Approach To Contingent Claims Valuation. " IMA Journal of Numerical Analysis, 21(2001), pp. 703-731.