Papers

Robert L. Navin, Convertible Bond Valuation: 20 Out Of 30 Day Soft-Call, from “Proceedings of the Ieee/Iafe 1999 Conference on Computational Intelligence for Financial Engineering (Cifer): March 28-30, 1999 New York City”, pp198-218, publ. IEEE 1999 (& 2004).

A simple modification to finite difference grid models of convertible bonds is proposed that allows a very good qualitative and fairly good quantitative evaluation of the 20 out of 30 feature in provisionally callable convertible bonds.

Barry Ryan, Gunnar Klinkhammer and Robert L. Navin, "Calculating Average Life for Bonds with Embedded Options", from “Option Embedded Bonds: Price Analysis, Credit Risk, & Investment Strategies”, pp111-125, publ. Irwin Professional Publishing 1996.

This paper points out the difference between expectation values correctly calculated in the risk neutral paradigm such as price and risk parameters and expectation values correctly calculated under the actual risk averse probability distribution such as "expected time to exercise" of an option embedded bond.

Kiplin Perkins, "An Analytic Second-Order Dividend Correction for Variance Swap Contracts on Stock Indices", Real Time Risk Systems Preprint, April 2008.

A simple analytic formula is presented which allows the user to incorporate the risk and valuation correction (albeit small) to a (driftless) index variance swap contract associated with future dividends.

Kiplin Perkins, Robert L. Navin, "A Modified Crank-Nicholson Method for Valuing Option Embedded Bonds using the Hull-White interest rate model", Real Time Risk Systems Preprint, October 2008.

We demonstrate the general modifications one can make to the Crank-Nicholson algorithm
in order to model bonds of any short-rate standard deviation and any tenor.