2 papers
math.OC2026
Parallel Optimization: Theory, Algorithms, and Applications,
Yair Censor, Stavros A. Zenios
This 30 years old book is posted for free download by the generosity of Oxford University Press that granted permission to allow access to future generations of young scientists. A…
q-fin.PR2018
Pricing sovereign contingent convertible debt
Andrea Consiglio, Michele Tumminello, Stavros A. Zenios
We develop a pricing model for Sovereign Contingent Convertible bonds (S-CoCo) with payment standstills triggered by a sovereign's Credit Default Swap (CDS) spread. We model CDS sp…