Browsing by Subject "Contingent bonds"

Now showing items 1-2 of 2

    • Working Paper  Open Access

      Pricing and Hedging GDP-Linked Bonds in Incomplete Markets 

      Consiglio, Andrea; Zenios, Stavros A. (The Wharton Financial Institutions Center. The Wharton School, University of Pennsylvania, PA, 2017-09)
      We model the super-replication of payoffs linked to a country's GDP as a stochastic linear program on a discrete time and state-space scenario tree to price GDP-linked bonds. As a byproduct of the model, we obtain a hedging ...
    • Working Paper  Open Access

      Pricing sovereign contingent convertible debt 

      Consiglio, Andrea; Tumminello, Michele; Zenios, Stavros A. (The Wharton Financial Institutions Center. The Wharton School, University of Pennsylvania, PA., 2017-11)
      We develop a pricing model for sovereign contingent convertible bonds (S-CoCo) with payment standstills triggered by a sovereign's credit default swap CDS spread. One innovation is the modeling of CDS spread regime switching ...