Essays about: "Quadratic Exponential Scheme"
Found 1 essay containing the words Quadratic Exponential Scheme.
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1. Contingent Convertible Bonds. A Market-Conform Equity Derivative Model
University essay from Göteborgs universitet/Graduate SchoolAbstract : This thesis focuses on the pricing of the Contingent Convertible Bonds (CoCos), using the Equity Derivative approach and the Bates model to simulate the stock price with Monte Carlo algorithm. The CoCo bonds are hybrid financial instruments with loss-absorbency features, characterized by a conversion into equity or a write-down of the face value, when a specified trigger event happens, which is usually related to an accounting indicator of the bank. READ MORE
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