Albert Ferreiro-Castilla

Universidad Autonoma de Madrid

Campus de Cantoblanco

Madrid, Madrid 28049

Spain

  • Universidad Autonoma de Madrid

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Efficient Pricing of Contingent Convertibles Under Smile Conform Models

Number of pages: 13 Posted: 05 Nov 2011
José Manuel Corcuera, Jan De Spiegeleer, Albert Ferreiro-Castilla, Andreas E. Kyprianou, Dilip B. Madan and Wim Schoutens
University of Barcelona, RiskConcile, Universidad Autonoma de Madrid, University of Bath, University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
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Wiener-Hopf factorization, Lévy processes, CoCo pricing, Monte-Carlo simulation