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New Findings from Beihang University in the Area of Discrete and Continuous Dynamical Systems Described (Pricing Chinese Convertible Bonds with...

July 22, 2014



New Findings from Beihang University in the Area of Discrete and Continuous Dynamical Systems Described (Pricing Chinese Convertible Bonds with Dynamic Credit Risk)

By a News Reporter-Staff News Editor at Journal of Mathematics -- Research findings on Discrete and Continuous Dynamical Systems are discussed in a new report. According to news reporting from Beijing, People's Republic of China, by VerticalNews journalists, research stated, "To price convertible bonds more precisely, least squares Monte Carlo (LSM) method is used in this paper for its advantage in handling the dependence of derivatives on the path, and dynamic credit risk is used to replace the fixed one to make the value of convertible bonds reflect the real credit risk. In the empirical study, we price convertible bonds based on static credit risk and dynamic credit risk, respectively."

The news correspondents obtained a quote from the research from Beihang University, "Empirical results indicate that the ICBC convertible bond has been overpriced, resulting from the underestimation of credit risk. In addition, when there is an issue of dividend, the conversion price will change in China's convertible bonds, while it does not change in the international convertible bonds."

According to the news reporters, the research concluded: "So we also empirically study the difference between the convertible bond's prices by assuming whether the conversion price changes or not."

For more information on this research see: Pricing Chinese Convertible Bonds with Dynamic Credit Risk. Discrete Dynamics in Nature and Society, 2014;():1-5. Discrete Dynamics in Nature and Society can be contacted at: Hindawi Publishing Corporation, 410 Park Avenue, 15TH Floor, #287 Pmb, New York, NY 10022, USA. (Hindawi Publishing - www.hindawi.com; Discrete Dynamics in Nature and Society - www.hindawi.com/journals/ddns/)

Our news journalists report that additional information may be obtained by contacting P. Li, Beihang Univ, Sch Econ & Management, Beijing 100191, People's Republic of China.

Keywords for this news article include: Asia, Beijing, People's Republic of China, Discrete and Continuous Dynamical Systems

Our reports deliver fact-based news of research and discoveries from around the world. Copyright 2014, NewsRx LLC


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Source: Journal of Mathematics


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