We provide detailed descriptions, including over 550 mathematical formulas, for over 150
trading strategies across a host of asset classes (and trading styles). This includes stocks …

We propose a unifying framework for the pricing of debt securities under general time-
inhomogeneous short-rate diffusion processes. The pricing of bonds, bond options …

Contingent convertible (CoCo) bonds comprise a specialized market segment of the
contingent capital market, an instrument that offers a valuation challenge to investment …

This paper discusses the convertible bonds pricing problem with regime switching and credit
risk in the convertible bond market. We derive a Black-Scholes-type partial differential …

We present a novel method for extracting the risk‐neutral probability of default (PD) of a firm
from American put option prices. Building on the idea of a default corridor proposed by Carr …

The purpose of this paper is to present a method for pricing the so-called defaultable
derivatives. It is based on the assumption that the asset price is the solution of a stochastic …

This thesis examines the risk-adjusted performances of several arbitrage and hedging
strategies involving convertible bonds. Convertible arbitrage (CA) exploits the pricing …

The major characteristic of the cancellable American options is the existing writer's right to
cancel the contract prematurely paying some penalty amount. The main purpose of this …

In this paper, we present a novel method to extract the risk-neutral probability of default from
American put option prices. Under the assumptions of Carr and Wu (2011), we derive a …

In recent years companies issuing convertible bonds enter into some transactions simul-
taneously in order to mitigate some of the negative impacts of issuing convertible bonds …