Conic coconuts: the pricing of contingent capital notes using conic finance

DOI10.1007/s11579-011-0038-1zbMath1255.91450OpenAlexW3123993356MaRDI QIDQ1932541

Dilip B. Madan, Wim Schoutens

Publication date: 20 January 2013

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://research.tue.nl/nl/publications/conic-coconuts--the-pricing-of-contingent-capital-notes-using-conic-finance(e11d744c-570c-4c79-b210-b28985bb4c29).html

zbMATH Keywords

contingent capitalconic financebid and ask pricing

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (11)

A structural framework for modelling contingent capital ⋮ Bid and ask prices as non-linear continuous time G-expectations based on distortions ⋮ Two price economies in continuous time ⋮ CONIC CVA AND DVA FOR OPTION PORTFOLIOS ⋮ Quantile hedging in a semi-static market with model uncertainty ⋮ DYNAMIC CONIC FINANCE: PRICING AND HEDGING IN MARKET MODELS WITH TRANSACTION COSTS VIA DYNAMIC COHERENT ACCEPTABILITY INDICES ⋮ Implied liquidity risk premia in option markets ⋮ The Impact of a New CoCo Issuance on the Price Performance of Outstanding CoCos ⋮ Pricing American options by a Fourier transform multinomial tree in a conic market ⋮ Valuation and analysis of zero-coupon contingent capital bonds ⋮ Unbounded liabilities, capital reserve requirements and the taxpayer put option

Cites Work

• The risk management of contingent convertible (CoCo) bonds
• Unbounded liabilities, capital reserve requirements and the taxpayer put option
• MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE
• Pricing and hedging basket options to prespecified levels of acceptability
• Capital requirements, acceptable risks and profits
• SIMPLE PROCESSES AND THE PRICING AND HEDGING OF CLIQUETS

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