The Handbook of Convertible Bonds: Pricing, Strategies and Risk Management

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9780470689684: The Handbook of Convertible Bonds: Pricing, Strategies and Risk Management

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.

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From the Back Cover:

Having both equity and debt like features, convertible bonds are highly complex, challenging new market entrants to incorporate credit and equity together into their existing pricing tools.

The Handbook of Convertible Bonds is a comprehensive guide to the pricing and risk management of this highly profitable asset class in a post credit crunch setting.

Part I introduces the convertibles market, covering the impact that the 2008 credit crunch has had on the markets. It 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 is also covered in detail. Using an intuitive approach based on the Jensen inequality, the authors also show the advantages of using a hybrid to add value. The authors then go on to give the advantages of using a hybrid to add value. The authors then go on to give a complete explanation of the different features that can be embedded in convertible bonds. Part II shows readers how to price convertibles, covering the different parameters used in valuation models: credit spreads, volatility, interest rates ad borrow fees and maturity. Part III concludes the book by covering the all important risk management part of the process in detail.

This is a highly piratical 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 market.

From the Inside Flap:

“The magnum opus of convertible bond market literature, of excellent practical value to market participants. The authors present a worthy and accessible review of all facets of this important corporate finance instrument, and I recommend it to every current and potential investor in convertible bonds. Bravo!” – Professor Moorad Choudhry, Department of Economics, London Metropolitan University

“The Handbook of Convertible Bonds covers the important market and analytical aspects of the CB business. This is an essential reference work that delivers both breadth of subject matter and depth of detail.” – Paul Wilmott, mathematician, author, cheesemaker

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Wim Schoutens (Katholieke Universitiet Leuven); Jan de Spiegeleer (Jabre Capital Partners)
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Descripción John Wiley and Sons. Estado de conservación: New. Brand New. Nº de ref. de la librería 0470689684

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Wim Schoutens, Jan De Spiegeleer
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Descripción John Wiley and Sons Ltd, United Kingdom, 2011. Hardback. Estado de conservación: New. 1. Auflage. 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 BZV9780470689684

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Wim Schoutens, Jan De Spiegeleer
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Descripción John Wiley and Sons Ltd, United Kingdom, 2011. Hardback. Estado de conservación: New. 1. Auflage. Language: English . This book usually ship within 10-15 business days and we will endeavor to dispatch orders quicker than this where possible. 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 BZV9780470689684

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De Spiegeleer, Jan, Schoutens, Wim
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ISBN 10: 0470689684 ISBN 13: 9780470689684
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Descripción Wiley, 2011. Hardcover. Estado de conservación: New. Never used!. Nº de ref. de la librería P110470689684

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Jan De Spiegeleer, Wim Schoutens, Philippe Jabre (Foreword)
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Descripción Wiley, 2011. Hardcover. Estado de conservación: New. 1. Nº de ref. de la librería DADAX0470689684

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Descripción Wiley, 2011. Hardcover. Estado de conservación: New. book. Nº de ref. de la librería M0470689684

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Descripción Wiley. Hardcover. Estado de conservación: New. 0470689684 New Condition. Nº de ref. de la librería NEW7.0180615

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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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Descripción Wiley, 2011. Estado de conservación: new. Shiny and new! Expect delivery in 20 days. Nº de ref. de la librería 9780470689684-1

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