In the first part, we propose a non-zero-sum stochastic game approach of pricing convertible bond under the framework that the capital structure of the firm involves tax rebate and endogenous default policy. Convertible bond is a hybrid security which embodies characteristics of both straight bond and equity. Beyond the bond provisions, it endows a conversion option for the bondholder to convert the bond for the equity of the issuing firm and a call option for the firm to buy the debt back. The conflict of interests between bondholder and shareholder affects the security prices significantly. In Chapter 2, we investigate how to use a non-zero-sum game framework to model their interaction and to evaluate the convertible bond accordingly. Mathematically, this problem can be reduced down to a system of variational inequalities. After we clarify the structure of the optimal exercise region of both parties, we manage to explicitly derive a unique Nash equilibrium to the constraint game and specify the associated optimal exercise strategies. Our model shows that tax benefit and credit risk can produce considerable impact on the optimal strategies of both parties. The firm may issue a call when the debt is out-of-the-money or in-the-money. This is consistent with the empirical findings of "late and early calls" (Ingersoll (1977), Mikkelson (1981), Cowan et al. (1993) and Ederington et al. (1997)) . In addition, the optimal call policy under our model offers an explanation to some stylized patterns related to the returns of the company value as well. / In the second part, we use Laplace transform to study the pricing problems of various path-dependent exotic options with the underlying asset following an exponentially distributed jump diffusion process. These exotic options include double-barrier option and some occupation-time-related derivatives such as step options, corridor options, and quantile options. The result about double barrier options is presented in Chapter 3, where we prove non-singularity of a related high-dimensional matrix, which guarantees the existence and uniqueness of the solution. Chapter 4 is our work on occupation-time-related options, which presents an extension of the Black-Scholes setting to Kou's double-exponential jump diffusion model. We derive the closed-form Laplace transform of the joint distribution of the occupation time and the terminal value of the double-exponential jump diffusion process, and apply the result to price various occupation-time-related derivatives. This is done by solving the associated two correlated ordinary integro-differential equations, thanks to the special property of the exponential. All the Laplace transform-based analytical solutions can be inverted easily via Euler Laplace inversion algorithm, and the numerical results illustrate that our pricing methods are accurate and efficient. / Key words. Convertible Bond; Non-zero-sum Differential Game; Tax Benefit; Credit Risk; Early/Late Calls; Positive/Negative Stock Return; Double-barrier Options; Step Options; Corridor Options; Quantile Options; Occupation-Time; Jump-Diffusion Process. / This dissertation contains two parts: a non-zero-sum game approach of convertible bond and exotic options pricing under exponential-type jump-diffusion model. / Wan, Xiangwei. / Adviser: Nan Chen. / Source: Dissertation Abstracts International, Volume: 72-04, Section: B, page: . / Thesis (Ph.D.)--Chinese University of Hong Kong, 2010. / Includes bibliographical references (leaves 157-170). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest Information and Learning Company, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstract also in Chinese.

Thesis (Ph. D.)--University of Chicago, Dept. of Economics, March 2001. / Includes bibliographical references. Also available on the Internet.

The physical and chemical nature of chemically bonded phases used in high performance liquid chromatography have been studied. These bonded phases were characterized by a variety of chromotographic and non-chromatographic experiments. The non-chromatographic techniques included ¹³C NMR and batch extraction methods. The role played by the bonded phase as well as the mobile phase in determining the retention characteristics of the "stationary phase" were determined. The retention of solute molecules on bonded phases was found to be a function of the chain length of the bonded phase, the chemical nature of the bonded molecule, and the type of organic modifier used in the mobile phase. The energetics of the solute-stationary phase interactions was determined by the differential enthalpy and was found to be indicative of a partitioning process between two liquid phases. The retention process was also affected by the surface coverage of the bonded molecule. Optimum retention and separation characteristics were obtained with a hydrocarbon bonded phase of high surface coverage when used with a mobile phase containing a very polar organic modifier. The efficiency of these bonded phases was found to be independent of chain length as well as surface coverage of the bonded molecule. Some bonded phases which have specific functionalities incorporated into the bonded molecule are not true reversed phases. The selectivity of the bonded phases towards polar solute molecules was found to be affected by the type of organic modifier used in the mobile phase. The major accomplishment of this work shows that the stationary phase consists of the bonded molecule as well as trapped mobile phase. The composition of this ternary mixture is a function of the type and amount of bonded material and the type and amount of organic modifier used in the mobile phase.

The fixed maturity, pricing and cash flow characteristics of fixed-income instruments like bonds distinguish them from equities and complicate the application of mean-variance optimization techniques to bond portfolio management. This report examines the challenges involved and reviews some of the theoretical term structure models and empirical estimation methods that have been proposed to address them. An empirical study is conducted which finds evidence of increased interest rate volatility, which affirms the need for a portfolio approach in fixed-income investing. An optimal portfolio of bond funds constructed using the Markowitz method is found to provide the best risk-return profile over the chosen study period, suggesting the viability of this approach as an alternative to holding bonds. / text

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Background: The financial crisis in 2008 has led to a number of consequences for the financial sector. For banks, new stricter regulations with the Basel III accord will be implemented from 2013. The adaption to the new conditions has resulted in stricter lending policies, which means that is tougher for companies to get traditional bank loans. Companies have started to look for other funding alternatives and the corporate bond market has gained more attention and a clear trend of growth for this market has been seen during the last couple of years Purpose: The purpose of this thesis is to examine the development of the corporate bond market in Sweden and analyze how this will impact the market participants and how they can adapt and utilize from it. Method: The research method used, in order to meet the purpose of this thesis, is mainly qualitative. The study it is based on in-depth, semi-structured interviews with different market participants that have great knowledge regarding their specific field of expertise. To back this up and, in more detail, understand more exactly the pace of the growth, the interview have been complemented with statistics of the current market situation. Conclusion: The Swedish corporate bond market has experienced a significant growth during the last couple of years and this has affected a lot of actors on the financial markets that have adapted their business to the new prevailing conditions. All market participants agree that this development will continue and they highlight the importance for the development to be qualitative in order to get a sustainable market.