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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SCHOLARLY PAPERS

3

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CITATIONS
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8

Scholarly Papers (3)

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1.

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

EFMA 2002 London Meetings; ISMA Centre Finance Discussion Paper No. 2001 Series, No. 2001-14
Number of pages: 58 Posted: 19 Dec 2001
Ali Bora Yigitbasioglu
University of Reading - ICMA Centre
Downloads 2,816 (3,992)
Citation 11

Abstract:

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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 1,194 (16,343)

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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 258 (116,825)
Citation 1

Abstract:

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