Andersen, L. and D. Buffum. Calibration and implementation of convertible bond models. Working paper, Banc of America Securities (2003). M. Avellaneda and L. Wu. Pricing Parisian-style options with a lattice method. International Journal of Theoretical and Applied Finance, 2(1):1­16, 1999. E. Ayache, P. Forsyth, and K. Vetzal: Valuation of Convertible Bonds with Credit Risk. The Journal of Derivatives, Fall 2003. O. Berndt and B. Veras de Melo. Capital Structure Arbitrage Strategies: Models, Practice and Empirical Evidence. Master Thesis, University of Lausanne, 2003. Davis, M. and F. Lischka (1999). Convertible Bonds with Market Risk and Credit Risk. Working paper, Tokyo-Mitsubishi International. R. Grimwood and S. Hodges. The Valuation of Convertible Bonds: A Study of Alternative Pricing Models. 2002. P. Henrotte. Equity-to-Credit Arbitrage. Gestion Alternative Conference, Evry University, April 2004. J. Howard and M. O'Connor. Convertible Securities, An Investor's Guide. Deutsche Bank, 2001. Hull, J.C., I. Nelken, and A. White. Merton's Model, Credit Risk, and Volatility Skew. Working paper, Joseph L. Rotman School of Management at University of Toronto, 2003. M. Jeanblanc and R. Douady. A rating-based model for credit derivatives. European Investment Review, 1, 17-29 (2002). Kwok, Y. and Lau, K. Anatomy of option features in convertible bonds. Jrl Fut Mark 24:513­532, 2004. Meyfredi, J.C. Intégration de taux d'intérêt différenciés dans l'évaluation des obligations convertibles. EDHEC. Quantessence. Volume 2, issue 1. Global Quantitative Research Deutsche Bank, January 2001. Takahashi, A, T. Kobayashi, and N. Nakagawa. Pricing Convertible Bonds with Default Risk. Journal of Fixed Income, 11: 20-29, 2001.