Basically I am trying to price CoCo-Bond with the AT1P from Brigo. But in the end this isn´t a two factor model. Is there any concret research about this topic?

Kind regards,



I wrote a paper with Alex Shubert. You can get it on archive.org.

  • 1
    $\begingroup$ can you please provide a link? It will be even more helpful if you can provide a short induction. $\endgroup$ – Gordon Jun 3 '16 at 19:53
  • $\begingroup$ I haven't looked closely but this could be the one: archive.org/details/AnalyticPricingCoCoBonds. $\endgroup$ – Bob Jansen Jun 4 '16 at 21:43

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