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HKD Part I of the book covers the impact that the credit crunch has had on the markets, it then shows how to build up a convertible bond and introduces the reader to the traditional convertible vocabulary of yield to put, premium, conversion ratio, delta, gamma, vega and parity. The market of stock borrowing and lending will also be covered in detail. Using an intuitive approach based on the Jensen inequality, the authors will also show the advantages of using a hybrid to add value - pre , many investors labelled convertible bonds as 'investing with no downside', there are of course plenty of examples to prove that they were wrong.
The authors then go onto give a complete explanation of the different features that can be embedded in convertible bond. Part II shows readers how to price convertibles. It covers the different parameters used in valuation models: credit spreads, volatility, interest rates and borrow fees and Maturity. Part III covers investment strategies for equity, fixed income and hedge fund investors and includes dynamic hedging and convertible arbitrage.
This is a highly practical book, all products priced are real world examples and numerical examples are not limited to hypothetical convertibles. It is a must read for anyone wanting to safely get into this highly liquid, high return market.
He has extensive practical experience of model implementation and is well known for his consulting work to the banking industry and other institutions. Customer Service.
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Read PDF Pricing Convertible Bonds (Wiley Traders Exchange)
Convertible bonds andwarrants are usually mentioned as an after thought in the latterchapters. This is the first book to address the very complex issueof pricing convertible bonds.
Easy to understandsoftware on Microsoft Excel spreadsheets is also supplied. He then joined Cresvale International AssetManagement as Director responsible for instituting scientific riskmanagement for Cresvale s principal Japanese warrants market-makingsection.
He is currently undertaking research into complexvolatility trading for Refco Overseas Ltd. Kevin has already published a book in , Buying and SellingVolatility. Table of Contents Using Computer Spreadsheets. Returns Distributions and Associated Descriptive Statistics. Modelling the Share Price Process.
The Basic Convertible Bond Model. Introducing the Complications. Convertible Bond Sensitivities. Refix Clauses.
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