Conic coconuts: the pricing of contingent capital notes using conic finance
Article Properties
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LanguageEnglish
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DOI (url)
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Publication Date2011/02/16
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Indian UGC (journal)
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Refrences23
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Citations31
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Dilip B. Madan
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Wim Schoutens
Cite
Madan, Dilip B., and Wim Schoutens. “Conic Coconuts: The Pricing of Contingent Capital Notes Using Conic Finance”. Mathematics and Financial Economics, vol. 4, no. 2, 2011, pp. 87-106, https://doi.org/10.1007/s11579-011-0038-1.
Madan, D. B., & Schoutens, W. (2011). Conic coconuts: the pricing of contingent capital notes using conic finance. Mathematics and Financial Economics, 4(2), 87-106. https://doi.org/10.1007/s11579-011-0038-1
Madan DB, Schoutens W. Conic coconuts: the pricing of contingent capital notes using conic finance. Mathematics and Financial Economics. 2011;4(2):87-106.
Journal Categories
Science
Mathematics
Social Sciences
Commerce
Business
Social Sciences
Economic theory
Demography
Economics as a science
Social Sciences
Finance
Social Sciences
Statistics
Refrences
| Title | Journal | Journal Categories | Citations | Publication Date |
|---|---|---|---|---|
| 10.1142/S0219024910006157 | 2010 | |||
| Pricing and hedging basket options to prespecified levels of acceptability | Quantitative Finance |
| 16 | 2010 |
| New Measures for Performance Evaluation | The Review of Financial Studies |
| 251 | 2009 |
| Capital requirements, acceptable risks and profits | Quantitative Finance |
| 18 | 2009 |
| The Handbook of Convertible Bonds—Pricing, Strategies and Risk Management | 2011 |
Citations
| Title | Journal | Journal Categories | Citations | Publication Date |
|---|---|---|---|---|
Pricing American Options by a Fourier Transform Multinomial Tree in a Conic Market | Discrete Dynamics in Nature and Society |
| 2022 | |
Liquidity-free implied volatilities: An approach using conic finance | International Journal of Financial Engineering |
| 1 | 2021 |
CONIC CVA AND DVA FOR OPTION PORTFOLIOS | International Journal of Theoretical and Applied Finance |
| 1 | 2020 |
No-Arbitrage Principle in Conic Finance | Risks |
| 1 | 2020 |
| Contingent Convertible bond literature review: making everything and nothing possible? | Journal of Banking Regulation |
| 10 | 2019 |
Citations Analysis
The category
Social Sciences: Finance 18
is the most commonly referenced area in studies that cite this article. The first research to cite this article was titled Pricing Contingent Convertibles: A Derivatives Approach and was published in 2011. The most recent citation comes from a 2022 study titled Pricing American Options by a Fourier Transform Multinomial Tree in a Conic Market. This article reached its peak citation in 2017, with 7 citations. It has been cited in 15 different journals, 13% of which are open access. Among related journals, the SSRN Electronic Journal cited this research the most, with 11 citations. The chart below illustrates the annual citation trends for this article.