The dynamics of volatility and its impact on convertible bond prices:
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
2004
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XIV, 155 S. graph. Darst. |
Internformat
MARC
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| 100 | 1 | |a Wilde, Christian |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a The dynamics of volatility and its impact on convertible bond prices |c vorgelegt von Christian Wilde |
| 264 | 1 | |c 2004 | |
| 300 | |a XIV, 155 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 502 | |a St. Gallen, Univ., Diss., 2004 | ||
| 650 | 7 | |a Converteerbare obligaties |2 gtt | |
| 650 | 7 | |a Econometrische modellen |2 gtt | |
| 650 | 7 | |a Omloopsnelheid (geld) |2 gtt | |
| 650 | 0 | 7 | |a Volatilität |0 (DE-588)4268390-7 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Kapitalmarkt |0 (DE-588)4029578-3 |2 gnd |9 rswk-swf |
| 655 | 7 | |0 (DE-588)4113937-9 |a Hochschulschrift |2 gnd-content | |
| 689 | 0 | 0 | |a Kapitalmarkt |0 (DE-588)4029578-3 |D s |
| 689 | 0 | 1 | |a Volatilität |0 (DE-588)4268390-7 |D s |
| 689 | 0 | |5 DE-188 | |
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Datensatz im Suchindex
| _version_ | 1804131851155013632 |
|---|---|
| adam_text | Contents
I Modeling Stock Market Volatility 1
1 Introduction 3
2 Long Memory Volatility Models 9
2.1 Introduction 9
2.2 Model Properties 10
2.3 Data Description 16
2.4 Model Estimation 17
2.5 Estimation Results 20
2.5.1 Stock Index Data 20
2.5.2 Individual Stock Data 23
2.6 Summary 26
3 Explaining the Behavior of Volatility 29
3.1 Introduction 29
3.2 Design of thr Analysis 30
3.3 The Effect of Trading Volume 31
3.4 The Effect of Finn Size 34
3.5 Summary 37
4 Forecasting Performance 39
4.1 Introduction 39
4.2 Properties of the Sample 43
ix
x CONTENTS
4.3 Examining the Forecasting Performance 50
4.4 Summary 59
II Application of Volatility Models 61
5 Pricing Convertible Bonds 63
5.1 Introduction 64
5.2 Pricing Convertible Bonds with Simulation 68
5.2.1 Convertible Bonds 68
5.2.2 Pricing Framework 70
5.2.3 Determining the Continuation Value 75
5.2.4 Convergence 77
5.2.5 Alternative Pricing Methods with Simulation ... 80
5.3 Integrating Credit Risk 82
5.4 Numerical Example 87
5.5 Performance of the Pricing Model 96
5.5.1 Exercise Boundaries 96
5.5.2 Estimating the Continuation Value 99
5.5.3 Convergence Results 107
5.6 Impact of Convertible Bond Specifications 109
5.7 Investigation of Input Models 112
5.7.1 Interest Rate Dynamics 112
5.7.2 Stock Dynamics 118
5.8 Summary 133
6 Conclusion 137
Bibliography 141
List of Tables
2.1 Parameter estimates of various FIGARCH(p,d,q) models . 21
2.2 Estimation results for various model specifications for the
conditional variance 24
3.1 Estimation results for model specifications including trad¬
ing volume and market capitalization 35
4.1 Properties of the constructed realized volatility series ... 45
4.2 Parameter estimates employed for forecasting 48
4.3 Information content regression 54
4.4 Rationality test 56
4.5 Encompassing regression 57
5.1 Optimal option exercise behavior 72
5.2 Example paths for various state variables 89
5.3 Cash flow matrix at maturity 90
5.4 Pricing a European style convertible with credit risk ... 91
5.5 Regression in t 94
5.6 Optimal early exercise decision in t 95
5.7 Convertible bond cash flow matrix 95
5.8 Regression functions 108
5.9 Convergence results 110
xi
xii LIST OF TABLES
5.10 Call Trigger 113
5.11 Stochastic interest rates 117
5.12 Applied model specifications 121
5.13 Parameter estimates 123
5.14 Distributional properties of the simulated paths for vari¬
ous volatility models 126
List of Figures
2.1 Estimated degree of fractional integration for individual
firms using a FIGARCH(l,d,l) model 25
2.2 t statistics for testing the null hypothesis d=0 26
3.1 Estimated degree of fractional integration for individual
firms using a FIGARCH(l,d,l) model including trading
volume 32
3.2 t statistics for testing the null hypothesis d=0 33
3.3 Estimated degree of fractional integration for individual
firms using a FIGARCH(l,d,l) model including market
capitalization 36
3.4 t statistics for testing the null hypothesis d=0 37
4.1 Daily realized volatility for the S P 500 index 46
4.2 Autocorrelation of daily realized volatility 49
4.3 Stability of the fractional differencing parameter over time 50
5.1 Consequences of splitting the cash flows in risk free parts
and in parts subject to default risk 84
5.2 Exercise boundary of a straight American put option ... 98
5.3 Exercise boundary of a call option embedded in a convert¬
ible bond 100
xiii
xiv LIST OF FIGURES
5.4 Exercise boundary of a put option embedded in a convert¬
ible bond 101
5.5 Exercise boundary of call and put options jointly embed¬
ded in a convertible bond 102
5.6 Continuation value 30 trading days before maturity .... 104
5.7 Continuation value 250 trading days before maturity . . . 105
5.8 Continuation value 500 trading days before maturity . . . 106
5.9 In sample conditional volatility for the FIGARCH(l,d,0)
model 124
5.10 In sample conditional volatilities for various volatility mod¬
els in comparison to FIGARCH(l,d,0) 125
5.11 Simulated risk neutral distributions of stock returns for d=0127
5.12 Simulated risk neutral distributions of stock returns for
0 d l 128
5.13 Simulated risk neutral distributions of stock returns for d=l 129
5.14 QQ Plots for various volatility models 131
5.15 Relative price deviation of various volatility models at dif¬
ferent conversion values 132
5.16 Prices obtained with various volatility models at different
maturities 134
|
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| indexdate | 2024-07-09T19:43:29Z |
| institution | BVB |
| language | English |
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| physical | XIV, 155 S. graph. Darst. |
| publishDate | 2004 |
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| spelling | Wilde, Christian Verfasser aut The dynamics of volatility and its impact on convertible bond prices vorgelegt von Christian Wilde 2004 XIV, 155 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier St. Gallen, Univ., Diss., 2004 Converteerbare obligaties gtt Econometrische modellen gtt Omloopsnelheid (geld) gtt Volatilität (DE-588)4268390-7 gnd rswk-swf Kapitalmarkt (DE-588)4029578-3 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Kapitalmarkt (DE-588)4029578-3 s Volatilität (DE-588)4268390-7 s DE-188 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=012034486&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Wilde, Christian The dynamics of volatility and its impact on convertible bond prices Converteerbare obligaties gtt Econometrische modellen gtt Omloopsnelheid (geld) gtt Volatilität (DE-588)4268390-7 gnd Kapitalmarkt (DE-588)4029578-3 gnd |
| subject_GND | (DE-588)4268390-7 (DE-588)4029578-3 (DE-588)4113937-9 |
| title | The dynamics of volatility and its impact on convertible bond prices |
| title_auth | The dynamics of volatility and its impact on convertible bond prices |
| title_exact_search | The dynamics of volatility and its impact on convertible bond prices |
| title_full | The dynamics of volatility and its impact on convertible bond prices vorgelegt von Christian Wilde |
| title_fullStr | The dynamics of volatility and its impact on convertible bond prices vorgelegt von Christian Wilde |
| title_full_unstemmed | The dynamics of volatility and its impact on convertible bond prices vorgelegt von Christian Wilde |
| title_short | The dynamics of volatility and its impact on convertible bond prices |
| title_sort | the dynamics of volatility and its impact on convertible bond prices |
| topic | Converteerbare obligaties gtt Econometrische modellen gtt Omloopsnelheid (geld) gtt Volatilität (DE-588)4268390-7 gnd Kapitalmarkt (DE-588)4029578-3 gnd |
| topic_facet | Converteerbare obligaties Econometrische modellen Omloopsnelheid (geld) Volatilität Kapitalmarkt Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=012034486&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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