The Handbook of Convertible Bonds Pricing Strategies and Risk Management 1st Edition by Jan De Spiegeleer, Wim Schoutens, Philippe Jabre ISBN 0470689684 978-0470689684

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Product details:

ISBN 10: 0470689684 

ISBN 13: 978-0470689684

Author: Jan De Spiegeleer, Wim Schoutens, Philippe Jabre

This is a complete guide to the pricing and risk management ofconvertible bond portfolios. Convertible bonds can be complexbecause they have both equity and debt like features and new marketentrants will usually find that they have either a knowledge offixed income mathematics or of equity derivatives and thereforehave no idea how to incorporate credit and equity together intotheir existing pricing tools.

Part I of the book covers the impact that the 2008 credit crunchhas had on the markets, it then shows how to build up a convertiblebond and introduces the reader to the traditional convertiblevocabulary of yield to put, premium, conversion ratio, delta,gamma, vega and parity. The market of stock borrowing and lendingwill also be covered in detail. Using an intuitive approach basedon the Jensen inequality, the authors will also show the advantagesof using a hybrid to add value – pre 2008, many investors labelledconvertible bonds as ‘investing with no downside’, there are ofcourse plenty of 2008 examples to prove that they were wrong. Theauthors then go onto give a complete explanation of the differentfeatures that can be embedded in convertible bond.

Part II shows readers how to price convertibles. It covers thedifferent parameters used in valuation models: credit spreads,volatility, interest rates and borrow fees and Maturity.

Part III covers investment strategies for equity, fixed incomeand hedge fund investors and includes dynamic hedging andconvertible arbitrage.

Part IV explains the all important risk management part of theprocess in detail.

This is a highly practical book, all products priced are realworld examples and numerical examples are not limited tohypothetical convertibles. It is a must read for anyone wanting tosafely get into this highly liquid, high return market.

Table of contents:

PART I: The Convertibles Market

1. Terminology
2. Convertible Bond Anatomy
3. Convertible and Hybrid Structures
4. Convertible Bonds Market

PART II: Pricing
5. The Road to Convexity
6. Basic Binomial Trees
7. Multinomial Models
8. Ascots

PART III: Risk Management and Strategies
9. Measuring the Risk
10. Dynamic Hedging
11. Monte Carlo Techniques for Convertibles

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Tags: Jan De Spiegeleer, Wim Schoutens, Philippe Jabre, Handbook, Convertible Bonds, Pricing Strategies, Risk Management