Whiteknights Park
P.O. Box 242
Reading RG6 6BA
United Kingdom
University of Reading - ICMA Centre
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in Total Papers Downloads
cross-currency convertibles, credit spread, interest rate risk, American feature, local volatility, Crank-Nicolson, quadratic programming, Wolfe's algorithm
Monte Carlo, American Options, Convertible Bonds, Intensity Model, Credit Risk
Call notice period, call premium, convertible bond, delayed calls, equity-linked default, stochastic interest rates, volatility uncertainty