A structural framework for modelling contingent capital

DOI10.1080/14697688.2016.1256494zbMath1402.91799OpenAlexW2562073993MaRDI QIDQ4555125

Jing Li, R. Mark Reesor, Adam Metzler

Publication date: 19 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2016.1256494

zbMATH Keywords

CoCo bondscontingent capital (valuation and design)structural credit models

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Dynamic capital structure and the contingent capital option
• Conic coconuts: the pricing of contingent capital notes using conic finance
• Valuation and analysis of zero-coupon contingent capital bonds
• Applications of Eigenfunction Expansions in Continuous-Time Finance
• Numerical Inversion of Laplace Transforms of Probability Distributions
• The Laplace Transform of Hitting Times of Integrated Geometric Brownian Motion
• COCO BONDS PRICING WITH CREDIT AND EQUITY CALIBRATED FIRST-PASSAGE FIRM VALUE MODELS

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