A Convertible-Bond-Pricing Method Based on Bond Prices on Markets
报告人:
You-lan Zhu
Professor, Department of Mathematics and Statistics, UNC at Charlotte
报告时间:
2009-07-13 10:00
报告地点:
清华大学科学馆104报告厅
主办单位:
清华大学周培源应用数学研究中心
简介:
Abstract: As we know, the bond prices issued by companies with different credit ratings should be different, which means that for interest rate derivative securities, the credit rating of the company is an important factor. How do we consider this factor when we price the convertible bonds? From the market, we can obtain the zero-coupon bond curve for companies with a certain credit rating, for example, AAA, AA, etc. Based on these data, we can determine the market price of risk for the short interest rate for companies with this credit rating. After the market price of risk is found, we can price a convertible bond issued by a company with this credit rating through solving partial differential equation. In this way we can reasonably take the credit rating of the company into account when we price convertible bonds.
