Convertible bonds in a defaultable diffusion model

DOI10.1007/978-3-0348-0097-6_16MaRDI QIDQ2909987zbMATH OpenOpenAlexFDO

Authors Tomasz R. Bielecki, Stéphane Crépey, Marek Rutkowski, Monique Jeanblanc

Publication date 7 September 2012

Published in Stochastic Analysis with Financial Applications (Search for Journal in Brave)

Full work available at URL http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.219.7384

zbMATH Keywords

Markov modelsvariational inequalitiesBSDEsuperhedging

Mathematics Subject Classification ID

Credit risk (91G40) Variational inequalities (49J40) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

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Cited in

(16)

• Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison
• AN ANALYTICAL APPROXIMATION FOR CONVERTIBLE BONDS
• Analysis of Sequential Conversions of Convertible Bonds: A Recurrent Survival Approach
• scientific article; zbMATH DE number 5260795 (Why is no real title available?)
• A NONZERO‐SUM GAME APPROACH TO CONVERTIBLE BONDS: TAX BENEFIT, BANKRUPTCY COST, AND EARLY/LATE CALLS
• Defaultable bonds with an infinite number of Lévy factors
• Convertible bonds with higher loan rate: model, valuation, and optimal strategy
• Dynkin's games and Israeli options
• A two-factor jump-diffusion model for pricing convertible bonds with default risk
• Defaultable options in a Markovian intensity model of credit risk
• Defaultable game options in a hazard process model
• Arbitrage pricing of defaultable game options with applications to convertible bonds
• Adverse Selection and Convertible Bonds
• scientific article; zbMATH DE number 5846309 (Why is no real title available?)
• A defaultable bond model with cyclical fluctuations in the spread process
• Bilateral counterparty risk under funding constraints. I: Pricing

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