Contingent Convertibles ("CoCos") are contingent capital instruments which convert into shares, or have a principal write down, if a trigger event takes place. CoCos exhibit the undesirable so-called "death-spiral effect": by actively hedging the equity risk, investors can (unintentionally)...

Contingent Convertible Bonds, or CoCos, are contingent capital instruments which are converted into shares, or may suffer a principal write-down, if certain trigger event occurs. In this paper we discuss some approaches to the problem of pricing CoCos when its conversion and the other relevant...

In 1988 Dybvig introduced the payoff distribution pricing model (PDPM) as an alternative to the capital asset pricing model (CAPM). Under this new paradigm agents preferences depend on the probability distribution of the payoff and for the same distribution agents prefer the payoff that requires...

We study the equilibrium in the model proposed by Kyle in 1985 and extended that we consider a framework where the price pressure can be random. We also allow for a random release time of the fundamental value of the asset. This framework includes all the particular Kyle models proposed in the...

In this paper the authors introduce the new concept of implied liquidity on the basis of the recent developed two-way price theory (conic finance). Implied liquidity isolates and quantifies in a fundamental way liquidity risk in financial markets. It is shown on real market option data on the...

We look at the problem of pricing CoCo bonds where the underlying risky asset dynamics are given by a smile conform model, more precisely an exponential Lévy process incorporating jumps and heavy tails. A core mathematical quantity that is needed in closed form in order to produce an exact...