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Citations for "Analyzing Convertible Bonds"

by Brennan, Michael J. & Schwartz, Eduardo S.

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Cited by (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.):
  1. Christiansen, Charlotte, 2003. "Multivariate Term Structure Models with Level and Heteroskedasticity Effects," Finance Working Papers 02-19, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
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  2. Jeremy C. Stein, 1992. "Convertible Bonds as "Back Door" Equity Financing," NBER Working Papers 4028, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  3. Hortensia Fontanals Albiol & Sergio Zuniga, 2002. "Modelos de tasas de interes en Chile: una revision," Working Papers in Economics 87, Universitat de Barcelona. Espai de Recerca en Economia. [Downloadable!]
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  4. Rose Lai & Ko Wang & Jing Yang, 2007. "Stickiness of Rental Rates and Developers’ Option Exercise Strategies," The Journal of Real Estate Finance and Economics, Springer, vol. 34(1), pages 159-188, January. [Downloadable!] (restricted)
  5. Christiansen, Charlotte, 2005. "Level-ARCH Short Rate Models with Regime Switching: Bivariate Modeling of US and European Short Rates," Finance Research Group Working Papers F-2005-03, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
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  6. Jun Yu & Peter C.B. Phillips, 2001. "Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate," Cowles Foundation Discussion Papers 1309, Cowles Foundation, Yale University. [Downloadable!]
  7. Charlotte Christiansen, 2008. "Mean Reversion in US and International Short Rates," CREATES Research Papers 2008-47, School of Economics and Management, University of Aarhus. [Downloadable!]
  8. Balázs Cserna, 2008. "Application of the Generalized Method of Moments for Estimating Continuous-Time Models of U.S. Short-Term Interest Rates," Working Papers 0462, University of Heidelberg, Department of Economics, revised Jan 2008. [Downloadable!]
  9. Yoram Landskroner & Alon Raviv, 2004. "The Valuation of Inflation-Indexed and FX Convertible Bonds," Finance 0401005, EconWPA. [Downloadable!]
  10. Jochen R. Andritzky & Manmohan Singh, 2005. "Overpricing in Emerging Market Credit-Default-Swap Contracts: Some Evidence from Recent Distress Cases," IMF Working Papers 05/125, International Monetary Fund. [Downloadable!]
  11. Manuel Ammann & Axel Kind & Christian Wilde, 2005. "Simulation-Based Pricing of Convertible Bonds," Finance 0507015, EconWPA. [Downloadable!]
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  12. Franco Parisi, 1998. "Tasas de Interés Nominal de Corto Plazo en Chile: Una Comparación Empírica de sus Modelos," Cuadernos de Economía (Latin American Journal of Economics), Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 35(105), pages 161-182. [Downloadable!]
  13. Loncarski, Igor & Horst, Jenke ter & Veld, Chris, 2006. "The convertible arbitrage strategy analyzed," Discussion Paper 98, Tilburg University, Center for Economic Research. [Downloadable!]
  14. De Giovanni, Domenico, 2007. "Lapse Rate Modeling: A Rational Expectation Approach," Finance Research Group Working Papers F-2007-03, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
  15. Xu, Hai Yan & Ward, Bert D. & Nartea, Gilbert, 2007. "An Empirical Study of the Chinese Short-Term Interest Rate: A Comparison of the Predictive Power of Rival One-Factor Models," Review of Applied Economics, Review of Applied Economics, vol. 3(1-2). [Downloadable!]
  16. Terence D.Agbeyegbe & Elena Goldman, 2005. "Estimation of threshold time series models using efficient jump MCMC," Hunter College Department of Economics Working Papers 406, Hunter College: Department of Economics, revised 2005. [Downloadable!]
  17. Augusto Castillo, 2004. "Firm and Corporate Bond Valuation: A Simulation Dynamic Programming Approach," Cuadernos de Economía (Latin American Journal of Economics), Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 41(124), pages 345-360. [Downloadable!]
  18. Asquith, Paul, 1948-, 1992. "Convertible debt--a dynamic test of call policy," Working papers 3413-92., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
  19. Akihiko Takahashi & Takao Kobayashi & Naruhisa Nakagawa, 2001. "Pricing Convertible Bonds with Default Risk: A Duffie-Singleton Approach," CIRJE F-Series CIRJE-F-140, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
  20. Sbuelz, A. & Guha, R., 2003. "Structural rfv: recovery form and defaultable debt analysis," Discussion Paper 37, Tilburg University, Center for Economic Research. [Downloadable!]
  21. Hatem Ben-Ameur & Michèle Breton, 2004. "A Dynamic Programming Approach for Pricing Options Embedded in Bonds," Computing in Economics and Finance 2004 237, Society for Computational Economics. [Downloadable!]
  22. Alex W.H. Chan & Nai-fu Chen, 2006. "Convertible Bond Underpricing: Renegotiable Covenants, Seasoning and Convergence," CIRJE F-Series CIRJE-F-437, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
  23. Fernández, Pablo, 1996. "Convertible bonds in Spain: A different security," IESE Research Papers D/311, IESE Business School. [Downloadable!]
  24. Mc Manus, Des & Watt, David, 1999. "Estimating One-Factor Models of Short-Term Interest Rates," Working Papers 99-18, Bank of Canada. [Downloadable!]
  25. John Matovu, 2007. "Volatility and Jump Risk Premia in Emerging Market Bonds," IMF Working Papers 07/172, International Monetary Fund. [Downloadable!]
  26. Zhou, Qi-Yuan & Wu, Chong-Feng & Feng, Yun, 2007. "Decomposing and valuing callable convertible bonds: a new method based on exotic options," MPRA Paper 7421, University Library of Munich, Germany. [Downloadable!]
  27. K. Ben Nowman & Ghulam Sorwar, 2003. "Implied option prices from the continuous time CKLS interest rate model: an application to the UK," Applied Financial Economics, Taylor and Francis Journals, vol. 13(3), pages 191-197, January. [Downloadable!] (restricted)
  28. Acharya, Viral V & Carpenter, Jennifer, 2002. "Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy," CEPR Discussion Papers 3328, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  29. Manuel Moreno & Juan I. Peña, 1996. "On the Term Structure of Interbank Interest Rates: Jump-Diffusion Processes and Option Pricing," Economics Working Papers 191, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
  30. Sharon Kozicki & P.A. Tinsley, 2002. "Term premia : endogenous constraints on monetary policy," Research Working Paper RWP 02-07, Federal Reserve Bank of Kansas City. [Downloadable!]
  31. Sirimon Treepongkaruna, 2003. "Quasi-maximum likelihood estimates of Kiwi short-term interest rate," Applied Economics Letters, Taylor and Francis Journals, vol. 10(15), pages 937-942, December. [Downloadable!] (restricted)
  32. Christian Kahl & Peter Jäckel, 2006. "Fast strong approximation Monte Carlo schemes for stochastic volatility models," Quantitative Finance, Taylor and Francis Journals, vol. 6(6), pages 513-536, December. [Downloadable!] (restricted)
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