The Handbook of Convertible Bonds: Pricing, Strategies and Risk Management (Wiley Finance Series)

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9780470689684: The Handbook of Convertible Bonds: Pricing, Strategies and Risk Management (Wiley Finance Series)
From the Publisher:

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.

About the Author:

Jan De Spiegeleer (Geneva, Switzerland) is Head of Risk Management at Jabre Capital Partners, a Geneva-based hedge fund. He developed an extensive knowledge of derivatives pricing, hedging and trading while working for KBC Financial Products in London, where he was Managing Director of the equity derivatives desk. Prior to his financial career, Jan worked for ten years as an officer in the Belgian Army, and served in Iraq.

Wim Schoutens (Leuven, Belgium) is a research professor in financial engineering in the Department of Mathematics at the Catholic University of Leuven, Belgium. He has extensive practical experience of model implementation and is well known for his consulting work to the banking industry and other institutions. Wim is the author of Levy Processes in Finance and Levy Processes in Credit Risk, and co-editor of Exotic Option Pricing and Advanced Levy Models all published by John Wiley and Sons. He is Managing Editor of the International Journal of Theoretical and Applied Finance and Associate Editor of Mathematical Finance, Quantitative Finance and Review of Derivatives Research.

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Schoutens, Wim; De Spiegeleer, Jan; Spiegeleer, Jan De
ISBN 10: 0470689684 ISBN 13: 9780470689684
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Descripción Estado de conservación: New. Nº de ref. de la librería 6972953-n

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Schoutens, Wim; De Spiegeleer, Jan; Spiegeleer, Jan De
Editorial: John Wiley and Sons Ltd, United Kingdom (2011)
ISBN 10: 0470689684 ISBN 13: 9780470689684
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Descripción John Wiley and Sons Ltd, United Kingdom, 2011. Hardback. Estado de conservación: New. 1. Auflage. 246 x 173 mm. Language: English . Brand New Book. 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. Nº de ref. de la librería AAH9780470689684

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Schoutens, Wim; De Spiegeleer, Jan; Spiegeleer, Jan De
Editorial: John Wiley and Sons Ltd, United Kingdom (2011)
ISBN 10: 0470689684 ISBN 13: 9780470689684
Nuevos Tapa dura Cantidad: 10
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Descripción John Wiley and Sons Ltd, United Kingdom, 2011. Hardback. Estado de conservación: New. 246 x 173 mm. Language: English . Brand New Book. 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. Nº de ref. de la librería AAH9780470689684

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ISBN 10: 0470689684 ISBN 13: 9780470689684
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Descripción John Wiley and#38; Sons, 2011. HRD. Estado de conservación: New. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. Nº de ref. de la librería FW-9780470689684

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Schoutens, Wim; De Spiegeleer, Jan; Spiegeleer, Jan De
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Descripción Wiley, 2011. Hardcover. Estado de conservación: New. book. Nº de ref. de la librería 0470689684

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Descripción Wiley, 2011. Estado de conservación: New. Brand New, Unread Copy in Perfect Condition. A+ Customer Service! Summary: This is a complete guide to the pricing and risk management of convertible bond portfolios. Nº de ref. de la librería ABE_book_new_0470689684

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Descripción 2011. Hardcover. Estado de conservación: New. 10002nd. 175mm x 247mm x 28mm. Hardcover. to know about this highly profitable asset class. This is a complete guide to the pricing and risk management of convertible bond portfolios.Shipping may be from multiple locations in the US or from the UK, depending on stock availability. 400 pages. 0.836. Nº de ref. de la librería 9780470689684

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Descripción 2011. Hardback. Estado de conservación: NEW. 9780470689684 This listing is a new book, a title currently in-print which we order directly and immediately from the publisher. Nº de ref. de la librería HTANDREE0778024

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Descripción John Wiley & Sons Inc, 2010. Hardcover. Estado de conservación: Brand New. 1st edition. 396 pages. 9.70x6.80x1.10 inches. In Stock. Nº de ref. de la librería __0470689684

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