Convertible bonds are an important segment of the corporate bond market, with worldwide
outstandings approaching US $235 billion. Simple pricing models value a convertible bond …

We construct a multilayer network to study the interconnectedness between convertible
bonds and underlying stocks in China by using the high-frequency data of 43 publicly listed …

Introducing a revolutionary new quantitative approach to hybrid securities valuation and risk
management To an equity trader they are shares. For the trader at the fixed income desk …

This is a complete guide to the pricing and risk management of convertible bond portfolios.
Convertible bonds can be complex because they have both equity and debt like features …

Convertible bonds are an important segment of the corporate bond market, however, as
hybrid instruments, convertible bonds are difficult to value because they depend on …

This paper hypothesizes that hot convertible debt windows represent periods with lower
convertible debt-related financing costs. Supporting this premise, we find that the stock price …

In this paper, the pricing problem for the American-style convertible bonds with the Heston
stochastic volatility and that with the Cox–Ingersoll–Ross (CIR) stochastic interest rate are …

This paper examines the performance of US mutual funds that invest primarily in convertible
bonds. Multivariate cross-sectional analyses show a significant relation between a fund's …

In this paper, we investigate whether the option features in convertible bonds lead to price
discovery. On the basis of minute‐level data from January 2019 to December 2021, we find …

The first contingent convertibles (CoCo) were issued in 2009, but, to date, the academic
community has not given much attention to practical issues of pricing them. Combining …