The Handbook of Convertible Bonds Pricing, Strategies and Risk Management
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Sprache:Englisch
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Produktdetails
Format
Kopierschutz
Ja
Family Sharing
Nein
Text-to-Speech
Nein
Erscheinungsdatum
18.05.2011
Verlag
John Wiley & Sons IncSeitenzahl
396 (Printausgabe)
Dateigröße
7464 KB
Auflage
1. Auflage
Sprache
Englisch
EAN
9780470980194
This is a complete guide to the pricing and risk management of
convertible bond portfolios. Convertible bonds can be complex
because they have both equity and debt like features and new market
entrants will usually find that they have either a knowledge of
fixed income mathematics or of equity derivatives and therefore
have no idea how to incorporate credit and equity together into
their existing pricing tools.
Part I of the book covers the impact that the 2008 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 2008, many investors labelled
convertible bonds as 'investing with no downside', there are of
course plenty of 2008 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.
Part IV explains the all important risk management part of the
process in detail.
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.
convertible bond portfolios. Convertible bonds can be complex
because they have both equity and debt like features and new market
entrants will usually find that they have either a knowledge of
fixed income mathematics or of equity derivatives and therefore
have no idea how to incorporate credit and equity together into
their existing pricing tools.
Part I of the book covers the impact that the 2008 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 2008, many investors labelled
convertible bonds as 'investing with no downside', there are of
course plenty of 2008 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.
Part IV explains the all important risk management part of the
process in detail.
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.
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