A Comparison of Bond Pricing Models in the Pricing of Credit Risk

1999 ◽  
Author(s):  
Miikka Petteri Tauren
Keyword(s):  
Credit Risk ◽  
Bond Pricing ◽  
Pricing Models

Empirical Evaluation of Hybrid Defaultable Bond Pricing Models

2008 ◽  
Vol 15 (3) ◽  
pp. 219-249 ◽  
Author(s):  
S. Antes ◽  
M. Ilg ◽  
B. Schmid ◽  
R. Zagst
Keyword(s):  
Empirical Evaluation ◽  
Bond Pricing ◽  
Pricing Models ◽  
Defaultable Bond

Estimating Structural Bond Pricing Models

2005 ◽  
Vol 78 (2) ◽  
pp. 707-735 ◽  
Author(s):  
Jan Ericsson ◽  
Joel Reneby
Keyword(s):  
Bond Pricing ◽  
Pricing Models ◽  
Structural Bond

scholarly journals Pricing Convertible Bonds with Credit Risk under Regime Switching and Numerical Solutions

2014 ◽  
Vol 2014 ◽  
pp. 1-13
Author(s):  
Wei-Guo Zhang ◽  
Ping-Kang Liao
Keyword(s):  
Credit Risk ◽  
Regime Switching ◽  
Numerical Solutions ◽  
Dilution Effect ◽  
Convertible Bonds ◽  
Bond Pricing ◽  
Convertible Bond ◽  
Pricing Model ◽  
Black Scholes ◽  
The Impact

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 equation of convertible bonds and propose a convertible bond pricing model with boundary conditions. We explore the impact of dilution effect and debt leverage on the value of the convertible bond and also give an adjustment method. Furthermore, we present two numerical solutions for the convertible bond pricing model and prove their consistency. Finally, the pricing results by comparing the finite difference method with the trinomial tree show that the strength of the effect of regime switching on the convertible bond depends on the generator matrix or the regime switching strength.

Fundamental Solutions for Zero-Coupon Bond Pricing Models

2004 ◽  
Vol 36 (1) ◽  
pp. 69-76 ◽  
Author(s):  
C. A. Pooe ◽  
F. M. Mahomed ◽  
C. Wafo Soh
Keyword(s):  
Fundamental Solutions ◽  
Bond Pricing ◽  
Pricing Models ◽  
Coupon Bond

scholarly journals Application of statistical mechanics methodology to term-structure bond-pricing models

1991 ◽  
Vol 15 (11) ◽  
pp. 77-98 ◽  
Author(s):  
Lester Ingber ◽  
Michael F. Wehner ◽  
George M. Jabbour ◽  
Theodore M. Barnhill
Keyword(s):  
Statistical Mechanics ◽  
Term Structure ◽  
Bond Pricing ◽  
Pricing Models

New bond pricing models with applications to Japanese data

1994 ◽  
Vol 1 (1) ◽  
pp. 1-20 ◽  
Author(s):  
Takeaki Kariya ◽  
Hiroshi Tsuda
Keyword(s):  
Bond Pricing ◽  
Pricing Models

Hurricane Bond Price Dependency on Underlying Hurricane Parameters

2020 ◽  
Vol 0 (0) ◽  
Author(s):  
Carolyn W. Chang ◽  
Yalan Feng
Keyword(s):  
Coupled Model ◽  
Bond Pricing ◽  
Physical Parameters ◽  
Risk Modeling ◽  
Pricing Model ◽  
Bond Price ◽  
Pricing Models ◽  
Translation Speed ◽  
Physically Based ◽  
Landfall Location

AbstractHurricane bonds are parametric in nature as they have a dual-exercise structure: the first exercise is conditional on the hurricane’s physical landfall location and the second is conditional upon the embedded option ending in-the-money. We propose a coupled and physically-based hurricane bond pricing model via Monte Carlo simulation that resolves the dual exercise, which was not addressed in extant loss-based catastrophe bond pricing models. This coupled model is developed at the nexus of atmospheric science and finance by integrating hurricane risk modeling and option pricing. By applying this model to price a parametric hurricane bond, we demonstrate how a hurricane bond’s price is sensitive to its underlying hurricane’s physical parameters – genesis, heading, translation speed, velocity, and radius.

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