Arturo Valdivia

University of Barcelona

585 Gran Via de les Corts Catalanes

Barcelona, 08007

Spain

SCHOLARLY PAPERS

3

DOWNLOADS

502

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (3)

1.

Close Form Pricing Formulas for CoCa CoCos

Number of pages: 18 Posted: 25 Jan 2013
University of Barcelona, Getulio Vargas Foundation, European Commission - Joint Research Centre, KU Leuven - Department of Mathematics and University of Barcelona
Downloads 263 (145,582)
Citation 3

Abstract:

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Contingent Convertibles, Credit Risk, Structural Approach, First Passage Times

2.

CoCos with Extension Risk: A Structural Approach

Number of pages: 17 Posted: 20 Dec 2014
University of Barcelona, Getulio Vargas Foundation, KU Leuven - Department of Mathematics and University of Barcelona
Downloads 121 (286,276)
Citation 2

Abstract:

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Contingent convertibles, extension rsk, call date

3.

Pricing CoCos with a Market Trigger

Number of pages: 26 Posted: 20 Feb 2015
José Manuel Corcuera and Arturo Valdivia
University of Barcelona and University of Barcelona
Downloads 118 (291,454)
Citation 1

Abstract:

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Contingent Convertibles, Market triggers, Short-term uncertainty, Extension Risk