Stochastic Models and Processes · 10. novembre 2023
Convertible bonds blend debt and equity, featuring an option to convert into a set number of shares. Key factors include conversion ratio and price. Valuation hinges on stock dynamics, credit risk, and hazard rate. At maturity, value is the higher of face value or conversion outcome. Monte Carlo simulations help in pricing, considering callability and putability options. #ConvertibleBonds #CreditRisk #FinancialModeling #InvestmentStrategies
06. novembre 2023
Chaos theory is a field of study in mathematics that deals with systems that appear to be disordered, but are actually following deterministic rules that are highly sensitive to initial conditions. This sensitivity causes the system to appear random and unpredictable. One of the simplest mathematical models to demonstrate chaos is the logistic map. This is a recurrence relation which is used to model population growth and is given by: x(n+1) = r * x(n) * (1 - x(n)) Here, x(n) is the proportion...