Pricing Convertible Bonds using Cox-Ross-Rubistein model for the course of Derivatives of the master in Financial Engineering at EPFL In this project we have applied the Cox-Ross-Rubistein model to price different types of Convertible Bonds, in particular: Mandatory convertible bonds, Vanilla Convertible bonds and callable convertible bonds. This project has an application using Johnson and Johnson data. This project is structured in five parts:
- Introduction and Analysis of the Convertible bonds market;
- Mathematical derivation used to prices these securities using European and American Derivatives;
- Implementation of the code used to pricing in Python (.ipynb file available in Github
- Analysis of the role of parameters and characteristics of these securities like coupon rate, dividend yields, call price, in the price.
- Example of a term sheet that could be proposed to a firm.