Efficient Pricing of Contingent Convertibles Under Smile Conform Models

Author:

Corcuera José Manuel,De Spiegeleer Jan,Ferreiro-Castilla Albert,Kyprianou Andreas E.,Madan Dilip B.,Schoutens Wim

Publisher

Elsevier BV

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4. Contingent Capital with a Capital-Ratio Trigger

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3. Multiple Trigger CoCos: Contingent Debt Without Death Spiral Risk;Financial Markets, Institutions & Instruments;2013-04-18

4. A Reduced Form CoCo Model with Deterministic Conversion Intensity;SSRN Electronic Journal;2013

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