Elie et. al. The Zhou-97 Jump Dif CrSpread paper PDF I found on the web was very poor and hard to read. Does anyone have a better pdf they could share?

dC/dt + 0.5*v^2*S^2*d2C/dS2 + (r+p-p)*S*dC/dS = (r+p)*Cwhat is r+p-p ? just r?in that case this would be the exchangeable model ... right?

dC/dt + 0.5*v^2*S^2*d2C/dS2 + (r+p-p)*S*dC/dS = (r+p)*Cwhat is r+p-p ? just r?in that case this would be the exchangeable model ... right? >>dC/dt + 0.5*v^2*S^2*d2C/dS2 + (r)*S*dC/dS = (r+p)*C(and r=r+p-p) gives exogeneous default at rate p (and 0 recovery value)-p means "pseudo" stock grows risky (p dividend)r+p is risky discountdC/dt + 0.5*v^2*S^2*d2C/dS2 + (r+p)*S*dC/dS = (r+p)*Cis jump-diffusion (stock jumps once to zero)

quite but you will get the same result if you argue that inPi = C - Delta Safter default C=0 but S will not move so Pi = 0 - Delta Sso dPi = -CanddC/dt + 0.5*v^2*S^2*d2C/dS2 + (r)*S*dC/dS = (r+p)*C

Hello reza. i was wondering if you could recommend a good book on pricing convertible bonds with application examples.I have bought a copy of kevin Connolly's book on "pricing convertible bonds" which i think is one of the best books on CB's that i have come across but most of the discussion is single factor model and assumes constant interest rate. I have read your discussions on the change on delta from a change on credit spread and wondered if there was a good material out there with multifactor models such as stochastic interest rate , credit spreads , stock price. Thanks

hi, I beileve there are some threads on the book forum discussing thisthere are books by Calamos, Nielken ... on Convertiblesthere are also some pdf articles available on www.ito33.com as well PWQF talks about Convertibles with stochastic interest rate or Credit Spread