Last edited by Nishakar
Wednesday, July 22, 2020 | History

5 edition of Pricing Corporate Securities as Contingent Claims found in the catalog.

Pricing Corporate Securities as Contingent Claims

by Kenneth D. Garbade

  • 54 Want to read
  • 32 Currently reading

Published by The MIT Press .
Written in English

    Subjects:
  • Investment & securities,
  • Mathematical Models In Economics,
  • Securities,
  • Business & Economics,
  • Business / Economics / Finance,
  • Business/Economics,
  • Accounting - General,
  • Finance,
  • Investments & Securities - General,
  • Business & Economics / Finance,
  • Economics - General,
  • Investment analysis,
  • Mathematical models,
  • Prices

  • The Physical Object
    FormatHardcover
    Number of Pages429
    ID Numbers
    Open LibraryOL9653607M
    ISBN 100262072238
    ISBN 109780262072236

    The early work of Black and Scholes, and Merton, made the connection between conventional options and corporate liabilities. The standard textbooks now employ option-pricing arguments in discussing the valuation of stocks, bonds, convertible bonds and warrants; this discussion extends to the various features (such as call and sinking-fund features) that now are appended to . The problem of pricing contingent claims or options from the price dynamics of certain securities is well understood in the context of a complete financial market. This paper studies the same problem in an incomplete market. When the market is incomplete, prices cannot be derived from the absence of arbitrage, since it is not possible to replicate the payoff of a given contingent Cited by:

    Fixed Income Securities: Tools for Today's Markets, Third Edition, was the arbitrage pricing of contingent claims and the determination of the shape of the yield curve, and then continues on to one-factor short-rate models. note and bond futures, interest rate and basis swaps, fixed income options, corporate bonds, credit default swaps Cited by:   A contingent claim is another term for a derivative with a payout that is dependent on the realization of some uncertain future event. Common types of contingent claim derivatives include options.

    The book begins with an overview of global fixed income markets and continues with the fundamentals, namely, arbitrage pricing, interest rates, risk metrics, and term structure models to price contingent claims.4/5(77). This paper examines the pricing of convertible bonds and preferred stocks. The optimal policies for call and conversion of these securities are determined via the criterion of dominance. The techniques underlying the Black-Scholes Option Model are used to price convertible securities as contingent claims on the firm as a by:


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Pricing Corporate Securities as Contingent Claims by Kenneth D. Garbade Download PDF EPUB FB2

Kenneth D. Garbade is Senior Vice President, Money and Payments Studies Function, Research and Statistics Group, at the Federal Reserve Bank of New York.

He is the author of Fixed Income Analytics (), Pricing Corporate Securities as Contingent Claims (), both published by the MIT Press, and other by: An examination of the relative value of securities in a corporation's capital structure, using the concept of contingent value analysis.

InFischer Black, Myron Scholes, and Robert Merton pointed out that securities issued by a corporation can be priced as claims whose values are contingent on the value of the enterprise as a whole.

Download Pricing Corporate Securities As Contingent Claims PDF Books - PDFBooks - pricing corporate securities as contingent claims Fri, 08 May + Search you book title to read online book for free or download book PDF for free.

Get this from a library. Pricing corporate securities as contingent claims. [Kenneth D Garbade] -- Bringing together developments from the past 30years in contingent valuation, this book examines the relative value of securities in a corporation's capital.

Download Citation | Pricing Corporate Securities as Contingent Claims | InFischer Black, Myron Scholes, and Robert Merton pointed out that securities issued by Author: Kenneth D. Garbade. Get this from a library.

Pricing corporate securities as contingent claims. [Kenneth D Garbade] -- An examination of the relative value of securities in a corporation's capital structure, using the concept of contingent valueFischer Black, Myron Scholes, and Robert Merton.

Contingent claims are applied under financial economics in developing models and theory, and in corporate finance as a valuation framework. Financial economics. In financial economics contingent claim analysis is widely used as a framework both for developing pricing models, and for extending the theory.

Ebooks list page: ; Pricing Corporate Securities as Contingent Claims; A Structural Framework for the Pricing of Corporate Securities: Economic and Empirical Issues; [PDF] Pricing Derivative Securities; [PDF] Pricing Derivative Securities; Pricing Derivative Securities; Pricing Derivative Securities.

interactions among different claims. The corporate liability pricing model derived in Black and Scholes () and Merton () represents a theoretical breakthrough on this problem, with potentially significant practical applications.

The critical insight of their model is that every security is a contingent claim on the value of the Cited by: The Merton contingent claims model is particularly useful when analyzing the securities of private equity backed companies where most of the value of the company is in the form of senior and mezzanine debt and preferred securities and/or substantial value is held in the form of embedded derivative securities, warrants, and options.

The problem of pricing contingent claims or options from the price dynamics of certain securities is well understood in the context of a complete financial market. This paper studies the same problem in an incomplete by: These issues include the effect of dividend policy on the valuation of debt and equity, the pricing of employee stock options and many other issues of corporate governance.

Volume 4: Contingent Claims Approach for Banks and Sovereign Debt Volume 4 focuses on the application of the contingent claim approach to banks and other financial.

Kenneth D. Garbade is Senior Vice President, Money and Payments Studies Function, Research and Statistics Group, at the Federal Reserve Bank of New York. He is the author of Fixed Income Analytics (), Pricing Corporate Securities as Contingent Claims (), both published by the MIT Press, and other books.

This paper studies the pricing and hedging for American contingent claims in an incomplete market under mild conditions using the numeraire method to avoid changes of probability measure.

When the market is incomplete, prices can not be derived by no-arbitrage arguments, since it is not possible to replicate the payoff of a given contingent claim by a Cited by: 2. The book begins with an overview of global fixed income markets and continues with the fundamentals, namely, arbitrage pricing, interest rates, risk metrics, and term structure models to price contingent claims.

On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (Robert C Merton) Valuing Corporate Securities: Some Effects of Bond Indenture Provisions (Fischer Black and John C Cox) The Role of Contingent Claims Analysis in Corporate Finance (Scott P Mason and Robert C Merton) Credit Risk Revisited (Michel Crouhy, Dan Galai & Robert Mark).

The Role of Contingent Claims Analysis in Corporate Finance Scott P. Mason, Robert C. Merton Division of Research, Harvard Business School, - Contingencies in finance - 65 pages. Corrections. All material on this site has been provided by the respective publishers and authors.

You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:ecnote:vyipSee general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its. Advanced Corporate Finance. This note extends the valuation of firm assets and liabilities to cases where they contain embedded contingent claims, reconciling these option prices of assets and liabilities with the Capital Asset Pricing Model (CAPM).

Contingent Convertibles - CoCos: Contingent convertibles (CoCos) are similar to traditional convertible bonds in that there is a strike price, which is the cost of the stock when the bond. A contingent claims model for corporate bonds is tested on newly issued bonds of firms with very simple capital structures.

Two default risk measures derived from the model — firm return standard deviation (σ) and leverage (D/V) — explain approximately 78 percent of the variation in the agency ratings on the bonds, based on a probit analysis. Model yield premiums explain Cited by: Initial theoretical work on contingent claims focused both on the pricing of options and the application of option theory to the analysis of the corporate capital structure.

6 Since the total 4 The accounting based approach maps a reduced set .I. T he essential feature of modern option pricing theory is the derivation of risk neutral valuation relationships (RNVRs) for contingent claims.

A contingent claim is an asset whose payoff depends upon the value of another “underlying” asset, the value of which is exogenously determined: a valuation relationship is a formula relating the value of the contingent claim, or its derivatives.