Lam Fong. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2001. / Includes bibliographical references (leaves 67-68). / Abstracts in English and Chinese. / Chapter 1 --- Background --- p.1 / Chapter 1.1 --- Bond and Yield --- p.1 / Chapter 1.1.1 --- Bond [8] --- p.1 / Chapter 1.1.2 --- Yields --- p.3 / Chapter 1.1.3 --- Qualitative Nature of Price-Yield Curves --- p.5 / Chapter 1.2 --- "Duration, Convexity and Time Value" --- p.8 / Chapter 1.2.1 --- Duration --- p.8 / Chapter 1.2.2 --- Qualitative Properties of Duration --- p.10 / Chapter 1.2.3 --- Convexity --- p.16 / Chapter 1.2.4 --- Literatures Review of Duration and Convexity --- p.17 / Chapter 1.2.5 --- Time Value --- p.20 / Chapter 2 --- Management of Interest Rate Risk --- p.22 / Chapter 2.1 --- Laddered Strategy --- p.23 / Chapter 2.2 --- Dumbbell Strategy --- p.24 / Chapter 2.3 --- Immunization Strategy --- p.25 / Chapter 2.4 --- Consideration of Convexity for Managing Interest Rate Risk --- p.26 / Chapter 2.5 --- Duration Targeting[l2] --- p.28 / Chapter 2.6 --- Immunizing Default-Free Bond Portfolios with a Duration Vec- tor [2] --- p.29 / Chapter 2.7 --- The need of Dynamic Global Portfolio Immunization Theorem --- p.32 / Chapter 3 --- Multi-Period Portfolio Selection --- p.34 / Chapter 3.1 --- Objective --- p.34 / Chapter 3.2 --- Dynamic Programming Formulation --- p.35 / Chapter 3.3 --- Specific Situation --- p.46 / Chapter 3.4 --- Summary of Implementation Results --- p.59 / Chapter 4 --- Summary --- p.64 / Bibliography --- p.67 / A Matlab Program of the Dynamic Portfolio Selection --- p.69

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.

Wong, Tsz-Lim. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2007. / Includes bibliographical references (leaves 48-51). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Reduced-Form Model --- p.5 / Chapter 2.1 --- Information and Probabilistic Framework --- p.6 / Chapter 2.2 --- Poisson and Cox Process --- p.6 / Chapter 2.3 --- The Building Blocks of Pricing --- p.8 / Chapter 2.4 --- Comparing the Recovery Models --- p.10 / Chapter 3 --- General Equilibrium Model --- p.12 / Chapter 3.1 --- State Variables --- p.12 / Chapter 3.2 --- Investment Opportunities --- p.14 / Chapter 3.3 --- Preferences --- p.15 / Chapter 3.4 --- The Term Structure of Defaultable Bonds --- p.17 / Chapter 4 --- Methodologies --- p.24 / Chapter 5 --- SNP and EMM --- p.27 / Chapter 5.1 --- SNP Density --- p.27 / Chapter 5.2 --- EMM Estimation --- p.29 / Chapter 6 --- Empirical Results --- p.31 / Chapter 6.1 --- Data Description --- p.31 / Chapter 6.2 --- Estimation Results --- p.33 / Chapter 7 --- Conclusion --- p.42 / Chapter A --- Extended Nelson and Siegel Model --- p.44 / Chapter B --- Moment-Matching of the CIR Model --- p.46 / Bibliography --- p.48

Credit risk is an important source of risk for almost all of the financial securities. The frequent and serious financial crisis has made credit risk a sensitive and crucial consideration for financial institutions, corporations, and individual investors. The accurate pricing for credit risk and credit risky assets depends crucially upon the credit risk term structure---it implies the market expectation for the future credit risk. However, the credit risk analysis is still in its very early stages of development. The investigation about the credit risk term structure, especially the empirical exploration, has many blank points. Earlier research on the credit risk term structure mainly concentrates on the slopes, pertaining to the simple linear term structure which is not applicable to the middle credit quality assets. Thus the curvature of the spread curves may infer snore information about the changes of future credit qualities, the credit cycles, and the recurring business cycles. In this thesis, a bond pair approach is developed to study the shape (curvature as well as slope) of individual spread curves, and the relationship among spread curves for bonds with different ratings. We uncover downward sloping spread curves for triple C and double C bonds and upward sloping spread curves for triple A+ and triple A bonds. We also uncover hump-shaped spread curves for middle-graded bonds including double A to single B, and there exist peak points on these spread curves. We document the relationship among spread curves for bonds with different ratings In terms of time to peak and peak spread. We conclude that, in comparing higher rated bonds (say, double A) with lower rated bonds (say, single B), the credit spread is higher and time to peak is shorter for the latter than the former. In particular, these hump-shaped curves are bounded from above by downward sloping spread curves for triple C and double C bonds and bounded from below by upward sloping spread curves for triple A+ and triple A bonds. These findings provide a good explanation for the middle-rated bonds' spread curves. This evidence helps us to better understand the credit risk term structure, to accurately price credit risk and credit risky assets, and to appropriately manage credit risk. / Hu Wen-wei. / "August 2000." / Adviser: Jia He. / Source: Dissertation Abstracts International, Volume: 61-08, Section: A, page: 3284. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2000. / Includes bibliographical references (p. 93-111). / 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 dissertations and theses, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstracts in English and Chinese. / School code: 1307.