Sökning: "Bianca Dufour Partanen"

Hittade 2 uppsatser innehållade orden Bianca Dufour Partanen.

1. 1. On the Valuation of Contingent Convertibles (CoCos): Analytically Tractable First Passage Time Model for Pricing AT1 CoCos

   Master-uppsats, KTH/Matematisk statistik

   Författare :Bianca Dufour Partanen; [2016]
   Nyckelord :Contingent Convertibles; Pricing; Structural model; First passage time model; AT1P model; Calibration.;

   Sammanfattning : Contingent Convertibles (CoCos) are a new type of hybrid debt instrument characterized by forced equity conversion or write-down under a specified trigger event, usually indicating a state of near non-viability of the Additional Tier 1 capital category, giving them additional features such as possible coupon cancellation. In this thesis, the structure of CoCos is presented and different pricing approaches are introduced. LÄS MER

3. 2. Convertible Bonds: a Qualitative and Numerical Analysis

   Kandidat-uppsats, KTH/Matematik (Inst.)

   Författare :Bianca Dufour Partanen; Emelie Järnberg; [2014]
   Nyckelord :;

   Sammanfattning : A convertible bond is a nancial instrument which has both an equity part and a xed-income part. The pricing of nancial securities has for quite obvious reasons become extensively studied in the past decades. In this paper we study the Black-Scholes model, based on the equity value, where the equity is modelled by geometric brownian motion. LÄS MER