Marco Marchioro

Università degli Studi di Milano-Bicocca

P.zza Ateneo Nuovo, 1

Milano, Milan 20126

Italy

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Scholarly Papers (1)

1.

Stochastic Spread Model for Fixed-to-Floater Convertible Bonds

Number of pages: 19 Posted: 17 May 2013
Marco Marchioro
Università degli Studi di Milano-Bicocca
Downloads 25 (395,032)

Abstract:

Fixed-to-floater convertible bonds, credit spread, subordinated issues, stochastic credit spreads, credit-linked options, credit-spread sensitivities, deterministic interest rates