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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
1

Influence of trading noise in equity prices on bond pricing models.

January 2006 (has links)
Leong U Man. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2006. / Includes bibliographical references (leaves 32-34). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Structural Bond Pricing Models --- p.5 / Chapter 2.1 --- The Merton Model --- p.5 / Chapter 2.2 --- Extended Merton Model --- p.6 / Chapter 2.3 --- Longstaff and Schwartz Model --- p.8 / Chapter 3 --- Methodology --- p.11 / Chapter 3.1 --- Maximum Likelihood Estimation --- p.13 / Chapter 3.2 --- Non-linear Filtering Process --- p.13 / Chapter 3.3 --- Modification for LS Model --- p.15 / Chapter 4 --- Simulation and Empirical Analysis --- p.16 / Chapter 4.1 --- Simulation Study --- p.16 / Chapter 4.2 --- Empirical Analysis --- p.19 / Chapter 4.2.1 --- Bond Selection --- p.19 / Chapter 4.2.2 --- Result for EM Model --- p.21 / Chapter 4.2.3 --- Result for LS Model --- p.24 / Chapter 4.3 --- Implications from Empirical Analysis --- p.28 / Chapter 5 --- Conclusion --- p.30 / Bibliography --- p.32
2

three-factor structural model of risky bonds and its applications. / 三因結構模型之公司債劵定價及其應用 / A three-factor structural model of risky bonds and its applications. / San yin jie gou mo xing zhi gong si zhai quan ding jia ji qi ying yong

January 2003 (has links)
Huang Ming Xi = 三因結構模型之公司債劵定價及其應用 / 黃銘浠. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2003. / Includes bibliographical references (leaves 99-102). / Text in English; abstracts in English and Chinese. / Huang Ming Xi = San yin jie gou mo xing zhi gong si zhai quan ding jia ji qi ying yong / Huang Mingxi. / Abstract --- p.i / Acknowledgements --- p.iii / Contents --- p.iv / List of Figures --- p.vii / List of Tables --- p.xiii / Chapter Chapter 1. --- Introduction --- p.1 / Chapter Chapter 2. --- Structural Models of Credit Pricing --- p.3 / Chapter 2.1 --- Introduction --- p.3 / Chapter 2.2 --- Merton's Model (1974) --- p.4 / Chapter 2.2.1 --- The Framework of the Traditional Contingent Claims Analysis (CCA) --- p.5 / Chapter 2.2.2 --- The Valuation of Corporate Bonds with B-S Option Pric- ing Theory --- p.9 / Chapter 2.2.3 --- The Limitations of Traditional Contingent Claim Ap- proach --- p.12 / Chapter 2.3 --- "Shimko, Tejima and Deventer (1993)" --- p.15 / Chapter 2.3.1 --- The Merton's Model in a Stochastic Interest Rate Frame- work --- p.15 / Chapter 2.4 --- Longstaff and Schwartz (1995) --- p.17 / Chapter 2.4.1 --- A Structure Model of Early Default Mechanism and De- viations from APR --- p.17 / Chapter 2.5 --- Briys and de Varenne (1997) --- p.21 / Chapter 2.5.1 --- A Structure Model of Stochastic Default Barrier --- p.21 / Chapter 2.5.2 --- The Valuation of Risky Zero-Coupon Bonds --- p.22 / Chapter 2.6 --- Stationary-leverage-ratio Models --- p.25 / Chapter 2.6.1 --- Tauren (1999) --- p.25 / Chapter 2.6.2 --- Collin-Dufresne and Goldstein (2001) --- p.27 / Chapter 2.7 --- Summary --- p.29 / Chapter Chapter 3. --- The Valuation Framework of the Three-factor Model --- p.32 / Chapter 3.1 --- Introduction --- p.33 / Chapter 3.2 --- The Framework of the Three-factor Model --- p.35 / Chapter 3.3 --- The Valuation of Risky Bonds --- p.39 / Chapter 3.3.1 --- Imposing an Early Default Mechanism --- p.42 / Chapter 3.3.2 --- Application: The Valuation of Probability of Default --- p.45 / Chapter Chapter 4. --- The Pricing Methodology of the Three-factor Model --- p.46 / Chapter 4.1 --- Simplification of the Problem --- p.47 / Chapter 4.2 --- Methodology of Upper-lower Bound Scheme --- p.48 / Chapter 4.2.1 --- Single-stage Approximation --- p.48 / Chapter 4.2.2 --- Illustrative Examples --- p.53 / Chapter 4.2.3 --- Multistage Approximation --- p.54 / Chapter 4.2.4 --- Summary --- p.58 / Chapter 4.2.5 --- Systematic Multistage Estimation of Bond Price --- p.61 / Chapter 4.3 --- Estimation of Default Probability --- p.63 / Chapter Chapter 5. --- Numerical Results and Discussion --- p.69 / Chapter 5.1 --- Initial Setting of Parameters --- p.69 / Chapter 5.2 --- Numerical Results and Discussion --- p.74 / Chapter Chapter 6. --- Conclusion --- p.89 / Appendix A. The Derivation of the Three-Factor Model --- p.91 / Bibliography --- p.99

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