n yield spreads: a case study of
russian debt” Journal of Finance 58, pp 119-159
Hui, C and Lo, C. F (2002), “Valuation model of defaultable bond values in emerging markets”
Asia-Pacific Financial Markets 9, pp 45-60
Moreira, A and K. Rocha (2004), “A two-factor structural model of determinants of Brazilian sovereign risk”
Journal of Fixed income 14, pp 48-59
Merrick, J (2001), “Crisis dynamics of implied default recovery ratios: evidence from Russia and Argentina”
Journal of Banking and Finance 25, pp 1921-1939
DATA SOURCE: For empirical applications data available in Ecowin and/or Datastream for a number of
www.bankofengland.co.uk for UK bonds).
countries (and/or
CONVERTIBLE BONDS/CALLABLE BONDS
ISSUES:
In this area you will be looking at various methods to value callable or convertible bonds or convertibles with
hard call features.
SELECTED READING:
Bliss, R. R. and E. I. Ronn (1998), “Callable U.S. Treasury bonds: Optimal calls, anomalies, and implied
volatilities”,Journal of Business 71, pp 211-252
Brennan, M J, and E. S. Schwartz (1980), “Analyzing Convertible Bonds”, Journal of Financial and
Quantitative Analysis, 15, pp 907-929
Buttler, H. J (1995), ”Evaluation of callable bonds: Finite difference methods, Stabitlity and accuracy”,
E英语论文网 【http://www.51lunwen.org】conomic Journal, 105, pp 374-384
Tsiveriotis, K. and C Fernandes (1998), “Valuing Convertible Bonds with Credit Risk”, Journal of Fixed
Income, September, pp 95-102
Ayache, E and P. Forsyth and K. Vetzal (2003), “The Valuation of Convertible Bonds with Credit Risk”,
Journal of Derivatives 11, pp 9-29
DATA SOURCE: No data required
DEFAULT RISK / CREDIT RISK
ISSUES:
Projects on default could address several issues such as empirical investigation of credit spreads,
comparison of different pricing models, application of various models to the pricing of defaultable debt.
SELECTED READING:
Longstaff, F. A and E. Schwartz (1995), “A simple approach to valuing risky and floating rate debt”, Journal of
Finance, 50, pp 789-819
Duffie, D. and K. Singleton (1999), "Modelling term structures of defaultable bonds", Review of Financial
Studies, 12, pp 687-720
Collin-Dufresne, P.and R. Goldstein, (2001),” Do credit spreads reflect stationary leverage ratios?”, Journal of
Finance, 56, 5, pp 1929-57
DATA SOURCE: For empirical applications data is available on DataStream and Compustat
AMERICAN OPTIONS
ISSUES:
Pricing American options using various techniques and comparison of the leading methods.
SELECTED READING:
Kim, I. (1990), “The analytical valuation of America
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