| 报告题目： | 一种基于市场证券价格的可转换证券定价法 |
| 报 告 人： | 朱幼兰 教授 |
| 美国北卡罗来纳州大学 | |
| 报告时间： | 11月16日下午2时 |
| 报告地点： | 九龙湖数学系第一报告厅 |
| 相关介绍： | 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 inportant 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 conpany with This credit rating through solving partial differntial equation. In this way we can reasonably take the credit rating of the company into account when we price convertible bonds. |
