Thesis (M.Phil.)--Hong Kong University of Science and Technology, 2004. / Includes bibliographical references (leaves 51). Also available in electronic version. Access restricted to campus users.

Thesis ( (M.Sc.)(Mathematics and Applied Mathematics)--University of Pretoria, 2009. / Summary in English. Includes bibliographical references.

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Convertible Bonds is the most important way to collect capital for a corporate, however the design of Convertible Bonds issue condition is more complicate and the valuing is more difficult. Six models have been used for valuing Convertible Bonds: (1) Black-Scholes Model (2) founded on LYON Model, solved by Binomial Model (3) Numerical Method (4) One State Variable / Two State Variable Finite Difference Method; (5) Contingent Claim Analysis; (6) Artificial Neural Networks Method. The results of the empirical analysis present the theoretical price deviates form market price. In the dissertation, I codify convertible bonds valuing models for this research afterward. Traditional approach is on the assumption that investors have no preference and frictionless market, however, such as: risk-less interest rate¡Bcash dividend¡Bexercise price¡Bunderwriting asset and fluctuant of investment yield¡Bthe conversion strategy of investment¡Bput strategy¡Boptimal call strategy of bonded corporation will affect the valuing of derivative securities. In consequence the issue condition of convertible bonds is more complicate, we would like recommending the Longstaff & Schwartz model (1995) to derive the theoretical value of convertible bonds more effectively. Longstaff & Schwartz (1995) develop the simple method to value risky bonds, which model can value the convertible bonds consist of default risk and interest risk. This model can reflect the default risk, and show two equations for fixed interest and floating interest to value the convertible bonds in the other same conditions.

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Abstract This paper examined the discounting for initial public offering of convertible bonds. We got the samples in Taiwan since 1990 to 2002 and surveyed there was the existing of excess return or not. In addition, we also try to find some variables that are relative to the excess return. After testing and verifying the samples, we had some conclusion¡G 1.There is excess return for the initial public offering of convertible bonds. It means when companies issued the convertible bonds, they discounted the issuing price purposely by some conditions such like coupon rate or conversion price. 2.When we used multi-factors regression to verify which factors are relative to initial return, the factors ¡§the credit ranking of issuing company¡¨ and ¡§trade market¡¨ had powerful influence to the initial return. 3.When we used t-test to verify initial return, we found that if separating the samples with some factors like ¡§company ages¡¨¡B¡§trade market¡¨¡B¡§amount of assets¡¨¡B¡§issuing year¡¨, the initial return had much difference between them.

Thesis (Ph. D.)--Ohio State University, 1978. / Includes vita. Includes bibliographical references (leaves 165-172). Available online via OhioLINK's ETD Center.

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.)--Rutgers University, 1993. / Vita. Includes bibliographical references (leaves 110-117).

Thesis (Ph. D.)--University of Wisconsin--Madison, 1970. / Typescript. Vita. Description based on print version record. Includes bibliographical references.