Ali Bora Yigitbasioglu

University of Reading - ICMA Centre

Whiteknights Park

P.O. Box 242

Reading RG6 6BA

United Kingdom

  • University of Reading - ICMA Centre

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    • Tel: +44 (0)118 931 8239
    • Fax: +44 (0)118 931 4741
SCHOLARLY PAPERS

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Scholarly Papers (3)

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1.

Pricing Convertible Bonds with Interest Rate, Equity, Credit, and FX Risk

Number of pages: 58 Posted: 19 Dec 2001
Ali Bora Yigitbasioglu
University of Reading - ICMA Centre
Downloads 2,872 (4,856)
Citation 11

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cross-currency convertibles, credit spread, interest rate risk, American feature, local volatility, Crank-Nicolson, quadratic programming, Wolfe's algorithm

2.

Pricing Convertible Bonds by Simulation

Number of pages: 21 Posted: 08 Dec 2006
Ali Bora Yigitbasioglu and Naoufel El-Bachir
University of Reading - ICMA Centre and University of Reading - ICMA Centre
Downloads 1,251 (18,607)
Citation 7

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Monte Carlo, American Options, Convertible Bonds, Intensity Model, Credit Risk

3.

An Uncertain Volatility Explanation for Delayed Calls of Convertible Bonds

ISMA Centre Discussion Papers in Finance Paper No. 2004-08
Number of pages: 42 Posted: 22 Jun 2004
Ali Bora Yigitbasioglu and Carol Alexander
University of Reading - ICMA Centre and University of Sussex Business School
Downloads 265 (135,034)
Citation 1

Abstract:

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Call notice period, call premium, convertible bond, delayed calls, equity-linked default, stochastic interest rates, volatility uncertainty