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
convertible bonds, stochastic game, Nash equilibrium, tax benefit, credit risk, late and early calls, variational inequalities
SABR model; Approximate solution; Arbitrage-free option pricing; Perturbation method
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