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Pricing contingent convertibles : a derivatives approach

De Spiegeleer, Jan; Schoutens, Wim - In: The journal of derivatives : the official publication … 20 (2012) 2, pp. 27-36

Persistent link: https://www.econbiz.de/10009718109

Basket option pricing and implied correlation in a Lévy copula model

Linders, Daniël; Schoutens, Wim - 2014

Persistent link: https://www.econbiz.de/10010422208

Close form pricing formulas for Coupon Cancellable CoCos

Corcuera, José Manuel; De Spiegeleer, Jan; Barbachan, … - In: Journal of banking & finance 42 (2014), pp. 339-351

Persistent link: https://www.econbiz.de/10010408370

Pricing Contingent Convertibles : A Derivatives Approach

De Spiegeleer, Jan - 2019

This article provides an in-depth analysis of pricing and structuring of contingent convertibles (CoCos). These debt instruments convert into the equity of the issuing bank or suffer a write-down of the face value upon the appearance of a trigger event. This trigger mechanism provides an...

Persistent link: https://www.econbiz.de/10012905917

Basket Option Pricing and Implied Correlation in a One-Factor Lévy Model

Linders, Daniël - 2015

In this paper we employ a one-factor Lévy model to determine basket option prices. More precisely, basket option prices are determined by replacing the distribution of the real basket with an appropriate approximation. For the approximate basket we determine the underlying characteristic...

Persistent link: https://www.econbiz.de/10013033163

The impact of skew on the pricing of CoCo bonds

De Spiegeleer, Jan; Forys, Monika B.; Marquet, Ine; … - In: International journal of financial engineering 4 (2017) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10011673124

Implied liquidity: towards stochastic liquidity modelling and liquidity trading

Corcuera, José Manuel; Guillaume, Florence; Madan, Dilip B. - In: International Journal of Portfolio Analysis and Management 1 (2012) 1, pp. 80-91

Persistent link: https://www.econbiz.de/10009706521

Implied Liquidity - Towards Stochastic Liquidity Modeling and Liquidity Trading

Corcuera, José Manuel - 2011

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...

Persistent link: https://www.econbiz.de/10013130181

Contingent conversion convertible bond : new avenue to raise bank capital

Di Girolamo, Francesca Erica; Campolongo, Francesca; De … - In: International journal of financial engineering 4 (2017) 1, pp. 1-31

Persistent link: https://www.econbiz.de/10011673102

CoCo Bonds and Implied CET1 Volatility

De Spiegeleer, Jan - 2015

In this work we introduce the notion of implied Core Equity Tier 1 volatility and the concept of a risk …-adjusted distance to trigger. Using a derivatives-based valuation approach, we are able to derive the implied CET1 volatility from the … convertibles issued by the same bank and sharing a similar contractual CET1 trigger, have almost identical implied CET1 volatility …

Persistent link: https://www.econbiz.de/10013026772