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Jan 2

Paper Accepted for Presentation at the 2011 APFRS

Posted by abiao at 13:46 | Others | Comments(5) | Reads(11798)
A fantastic New Year gift to me. Just got to know my first working paper "Pricing Convertible Bonds with Embedded Parisian Options: Theory and Evidence", coauthored by Fangyi Jin, a former classmate of mine, has been chosen for presentation at the 21st annual Asia-Pacific Futures Research Symposium, being held in Singapore on February 16 and 17, 2011, at the Marina Bay Sands Hotel. APFRS is one of the most respected derivatives research conferences in the world having begun over 20 years ago by the Chicago Board of Trade Foundation (CBOT), I am sure we can get useful feedback and most importantly, know what other researches are doing at the moment.

Thanks to CBOT, the presenting author of each paper accepted for presentation at the symposium receives a $1,500 grant for travel expenses related to attending the symposium or for other research needs. Plus the presenting author receives two days of complimentary accommodations at the conference hotel. I may not attend it while my coauthor may do as he is based in China closer to Singapore. Whatever, it is a rare opportunity to have my first working paper out, the presented papers have chance to be published in either Review of Futures Markets or Journal of Futures Markets, we will cherish it.

Abstract of the paper:
We propose and empirically investigate a two-factor pricing model for convertible bonds with embedded Parisian options (soft call protection) and stochastic interest rate. The model is solved numerically by a finite element method. Studying the 49 convertible bonds and 47 months of weekly market prices in China, we find that there is no significant mispricing on average, i.e. the market prices are almost equal to our model prices. Ignoring the embedded Parisian options, however, will dramatically decrease the model prices such that the market prices are overpriced by 5.61%. Our result shows that the Parisian options have a significant effect on pricing convertible bonds in the markets where soft call protection is prevailing.

My paper got accepted to this conference too.
Im nervous as anything about my presentation!
Hope to talk to you there.
Hi, Glad to find some presenter here. I am not sure if I or my coauthor will present, although I'd like to. Anyway, do you mind dropping me a line to abiao@mathfinance.cn, I will reply you if I will go, we can have a beer or two then.
Congratulations. Could you let me read your working paper? I am studying price process of a lot of commodities. Perhaps we can exchange some ideas.
sure, I will send to you after back from the conference.
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