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
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_324226 |
| Date | January 2003 |
| Contributors | Huang, Mingxi., Chinese University of Hong Kong Graduate School. Division of Physics. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English, Chinese |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, xiv, 102 leaves : ill. ; 30 cm. |
| Rights | Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/) |
Page generated in 0.002 seconds