In this thesis, I develop a valuation model to price convertible bonds with call provision. Convertible bonds are hybrid instruments that possess both equity and debt characteristics. The purpose of this study is to build a pricing model for convertible and callable bonds and to compare the mathematical results of the model with real world market performance. I construct a two-factor valuation model, in which both the interest rate and the stock price are stochastic. I derive the partial differential equation of two stochastic variables and state the final and boundary conditions of the convertible bond using the mean reversion model on interest rate. Because it is difficult to obtain a closed solution for the American convertible bond due to its structural complexity, I use the binomial tree model to value the convertible bond by constructing the interest rate tree and stock price tree. As a convertible bond is a hybrid security of debt and equity, I combine the interest rate tree and stock price tree into one single tree. Default risk is added to the valuation tree to represent the event of a default. The model is then tested and compared with the performance of the Canadian convertible bond market. Moreover, I study the duration, convexity and Greeks of convertible bonds. These are important risk metrics in the portfolio management of the convertible bond to measure risks linked to interest rate, equity, volatility and other market factors. I investigate the partial derivative of the value of the convertible bond with respect to various parameters, such as the interest rate, stock price, volatility of the interest rate, volatility of the stock price, mean reversion of the interest rate and dividend yield of the underlying stock. A convertible bond arbitrage portfolio is constructed to capture the abnormal returns from the Delta hedging strategy and I describe the risks associated with these returns. The portfolio is created by matching long positions in convertible bonds, with short positions in the underlying stock to create a Delta hedged convertible bond position, which captures income and volatility.

Project (M.A.) - Simon Fraser University, 2005. / Project (Dept. of Economics) / Simon Fraser University. Also issued in digital format and available on the World Wide Web.

Thesis (Ph. D.)--Rutgers University, 2009. / "Graduate Program in Management." Includes bibliographical references (p. 150-154).

Thesis (M.B.A.)--University of Hong Kong, 1986.

Thesis (Ph. D.)--West Virginia University, 2003. / Title from document title page. Document formatted into pages; contains xi, 170 p. Includes abstract. Includes bibliographical references.

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The primary purpose of the study is to carry out an investigation into the role of listed real estate stocks in a mixed asset class investment portfolio in South Africa and what weighting should be allocated to this asset class. The study involved collecting data from the last ten years from January 1995 to December 2004 and then comparing the data against data collected from the investment management industry, especially those entities with exposure to direct property and listed property stock holdings over long periods. The study investigates the benefits of listed property stocks in an investment portfolio in South Africa, and empirically tests the data collected using the mean-variance theory to determine the impact of listed property stocks on the performance (maximising returns) and risk (minimising risk) of investment portfolios. The Elton and Gruber computer programme is used to test the data to give an optimal weighting to the sector and produce an efficient frontier. The weightings are then used to work out the efficiency of a portfolio as a result of the inclusion of listed property stocks, and comparing it to a portfolio of just two asset classes, namely equities and bonds, at 75% and 25% weightings respectively. The results demonstrated the benefits offered by listed real estate and revealed that the sector should be treated as a separate asset class from equities due to lower correlation of returns between these two asset classes. It also demonstrated that an increased allocation to the listed property sector would have resulted in better investment performance over the past ten years. The conclusions consistently pointed to the increased asset allocation of listed real estate in investment portfolios as the best long-term solution to diversification and volatility, as long as the liquidity and size of the sector improves. It is concluded in this study, that investment managers have underscored the relevance and allocation of listed real estate in investment portfolios in the past ten years, thus not optimising the performance and risk of their portfolios, as expected in retirement fund portfolios to the benefits of the members. / Thesis (MBA)-University of KwaZulu-Natal, 2006.

Gharar (excessive risk or uncertainty) is prohibited in Islam and its presence in financial contracts makes these contracts null and void. The prohibition of gharar can also extend to investing in stocks. Very few studies have investigated how gharar affects stocks in investing. Consequently, very few studies suggest tactics and strategies that can be employed for gharar reduction in the case of stock investing. The thesis attempts to investigate the topic of gharar in terms of stock investing. The thesis is far from developing a theory of gharar in terms of stock investing, however it is an attempt to establish the foundation for rationalising and understanding gharar in terms of stock investing. For this purpose, the thesis employs qualitative analysis, and depends on different types of secondary sources of information. The thesis extensively interprets and presents findings, and analyses the data derived from scholarly writings on the topic of gharar, which can be found in journal articles, books and several conference papers. The thesis also examines a sample of the screening criteria of Islamic Equity Funds (IEFs), since it is the only indicator explaining the guidelines Muslims pursue when tending to invest in stocks. In this regard, the sampling strategy employed is Critical Case Sampling. The thesis examined all Islamic Equity Indexes and a number of the major Islamic Equity Funds. It has been found that the screening criteria of Islamic Equity Funds is limited to two matters: (1) excluding firms that are associated with impermissible activities and operations e.g. financial services firms and casinos, and (2) excluding firms highly involved with interest-rate based transactions. Despite the fact that screening criteria of Islamic Equity funds are supposed to be strictly derived from the basic tenets of Islamic law, thus far, gharar is excluded from these screens. For the purpose of incorporating gharar into the screening criteria of Islamic Equity Funds, the thesis first suggests a definition of gharar in terms of stock investing, which is based on the commonalties found in the different interpretations of Muslim scholars of gharar. Muslims need to focus on avoidable (controllable) risk in a proper manner, and attempt not to rely on pure chance in achieving the desired profit or return. Secondly, the thesis suggests a number of conventional strategies for risk reduction that can be successfully used for gharar reduction. Thirdly, the thesis explores the different conventional stock valuation models e.g. Value Investing, Modern Portfolio Theory (MPT) and Derivatives. It has been observed that the different types of derivatives in Islam are prohibited for several reasons. Several tactics and ratios derived from Value Investing and MPT can be successfully used to for gharar reduction purposes. In regards to Value Investing, the following ratios and tactics can be used for gharar reduction: different Multiple ratios, long-term investing, intrinsic value and fundamental analysis. Two main issues can be beneficially derived from MPT: the portfolio approach and beta ratio. However, note that several modifications have been performed on these suggested ratios and tactics in order to comply with the basic tenets of Islamic contract law. Last but not the least, both the Value Investing and MPT fall short of assessing any non-financial but nevertheless fundamental activities of the firm.

Zugl.: Erlangen, Nürnberg, University, Diss.