Unlike conventional convertible bonds, contingent convertible (CoCo) bonds are converted into equity shares of the issuing bank subject to certain trigger mechanisms (accounting and/or regulatory trigger) when the issuing bank is under financial non-viable state. We consider pricing of these...

Li, Szepesvari and Schuurmans (2009) show that reinforcement learning (RL) algorithms are superior to the classical methods (such as Longstaff and Schwartz (2001)) in pricing American options using Monte Carlo simulation. We extend their techniques to the problem of pricing convertible bonds and...

Contingent convertible bonds are typical hybrid products in that they are exposed to different types of risk: interest rate risk, equity risk and conversion risk. We first develop a general framework for their pricing and hedging that can be specified in different ways. Then we focus on...

There is a set of corporate situations, when there is an exchange of one asset for another, for example, the offer on an exchange of corporate securities. Special case of such offer is the exchange the preferred share which are available for the company on ordinary share. Application of models...

We consider a firm with no assets in place but an option to invest in a project. The investment is irreversible but delayable in a regime-switching economy. The firm issues equity, straight bonds (SBs) and contingent convertibles (CoCos). We provide the closed-form prices for the firm's...