Stavros A. Zenios | Searcharxiv

arXiv2026

Parallel Optimization: Theory, Algorithms, and Applications,

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 printed copy can be purchased from the publisher. The authors received for this book "The 1999 INFORMS Computing Society Prize for Research Excellence in the Interface Between Operations Research and Computer Science" from the Institute for Operations Research and the Management Sciences (INFORMS). For a book review by Janos D. Pinter go to: Journal of Global Optimization, 16: 107-108, 2000.

math.OC↗

arXiv2018

Pricing sovereign contingent convertible debt

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 spread regime switching, which is prevalent during crises, as a hidden Markov process, coupled with a mean-reverting stochastic process of spread levels under fixed regimes, in order to obtain S-CoCo prices through simulation. The paper uses the pricing model in a Longstaff-Schwartz American option pricing framework to compute future state contingent S-CoCo prices for risk management. Dual trigger pricing is also discussed using the idiosyncratic CDS spread for the sovereign debt together with a broad market index. Numerical results are reported using S-CoCo designs for Greece, Italy and Germany with both the pricing and contingent pricing models.

q-fin.PR↗