The Chinese University of Hong Kong (CUHK)
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contingent convertibles, bail-in, tail risks, rollover risk
Systemic risk, contagion, liquidity risk, financial network
American option, price sensitivities, Monte Carlo simulation, stochastic optimization, perturbation analysis
convertible bonds, stochastic non-zero-sum game, Nash equilibrium, tax benefit, credit risk, late and early calls, variational inequalities
Contingent convertible debt, bail-in debt, capital structure, too big to fail
convertible bonds, call provision, signaling equilibrium, game options
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convertible bonds, stochastic game, Nash equilibrium, tax benefit, credit risk, late and early calls, variational inequalities
File name: mafi.
SABR model; Approximate solution; Arbitrage-free option pricing; Perturbation method
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