"Introducing a revolutionary new quantitative approach to hybrid securities valuation and risk managementTo an equity trader they are shares. For the trader at the fixed income desk, they are bonds (after all, they pay coupons, so what's the problem?). They are hybrid securities. Neither equity...

This paper provides an in-depth analysis into the structuring and the pricing of an innovative financial market product. This instrument is called contingent conversion convertible bond or "CoCoCo". This hybrid bond is itself a combination of two other hybrid instruments: a contingent...

This paper presents a Heston-based pricing model for contingent convertible bonds (CoCos). The main finding is that skew in the implied volatility surface has a significant impact on the CoCo price. Hence stochastic volatility models, like the Heston model, which incorporate smile and skew are...

In this paper, we show how we can deploy machine learning techniques in the context of traditional quant problems. We illustrate that for many classical problems, we can arrive to speed-ups of several orders of magnitude by deploying machine learning techniques based on Gaussian process...

"A masterful presentation of the many risk exposures embedded in the fast growing world of rate, credit and equity hybrid products by leading scholars. The handbook is an essential addition for those venturing into the intricate details of pricing and risk managing the complexities of cross...

A green bond is a type of fixed-income security that raises money to invest in predetermined climate and environmental projects, in contrast to conventional debt instruments, where the use of proceeds is not specified in the terms. The difference in yield between a green bond and an otherwise...

In this paper, we examine the impact of including environmental, social and governance (ESG) criteria in the allocation of equity portfolios. We focus on the risk and return characteristics of the resulting ESG portfolios and investment strategies. Two specific measures are considered to...

A green bond is a type of fixed-income security that raises money to invest in predetermined climate and environmental projects, in contrast to conventional debt instruments, where the use of proceeds is not specified in the terms. The difference in yield between a green bond and an otherwise...