The Handbook Of Convertible Bonds Pricing Strategies And Risk Management Pdf

the handbook of convertible bonds pricing strategies and risk management pdf

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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 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 Handbook of Convertible Bonds (eBook, PDF)

Search this site. 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 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 , many investors labelledconvertible bonds as 'investing with no downside', there are ofcourse plenty of 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.

JavaScript seems to be disabled in your browser. You must have JavaScript enabled in your browser to utilize the functionality of this website. List Price: HKD 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.

For details of our global editorial offices, for customer services and for information about how to apply forpermission to reuse the copyright material in this book please see our website at www. The right of the author to be identified as the author of this work has been asserted in accordance with theCopyright, Designs and Patents Act All rights reserved. No part of this publication may be reproduced, stored in a retrieval system, or transmitted, inany form or by any means, electronic, mechanical, photocopying, recording or otherwise, except as permitted by theUK Copyright, Designs and Patents Act , without the prior permission of the publisher. Wiley also publishes its books in a variety of electronic formats. Some content that appears in print may not beavailable in electronic books.

The Handbook of Convertible Bonds : Pricing, Strategies ...· 2 Convertible Bond Anatomy 25 ... 8.1

In this chapter we concentrate at the most popular model for convertible bond CB valuation in a one-factor, stochastic underlying stock price setting. Through the last decade, the Tsiveriotis—Fernandes model has become a widely commented model that involves the state of default of the issuer of the CB. A routine approach to the solution of this model is the usage of methods of finite difference schemes FDS. However, for many people trained in finance these methods are not very intuitive and they tend to ignore them and prefer to use binomial-tree approach as more intuitive technique. For that reason, our primary focus is to highlight the answer of the so far unanswered question: Does the binomial-tree approach to CBs provide accurate pricing, hedging, and risk assessment?

Jetzt bewerten Jetzt bewerten. 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 credit crunchhas had on the markets, it then shows how to build up a convertiblebond and introduces the reader to the traditional …mehr. DE

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The Handbook of Convertible Bonds: Pricing, Strategies and Risk Management. Editor(s). Jan De Spiegeleer; Wim Schoutens.


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

For details of our global editorial offices, for customer services and for information about how to apply forpermission to reuse the copyright material in this book please see our website at www. The right of the author to be identified as the author of this work has been asserted in accordance with theCopyright, Designs and Patents Act All rights reserved. No part of this publication may be reproduced, stored in a retrieval system, or transmitted, inany form or by any means, electronic, mechanical, photocopying, recording or otherwise, except as permitted by theUK Copyright, Designs and Patents Act , without the prior permission of the publisher. Wiley also publishes its books in a variety of electronic formats.

Skip to search form Skip to main content You are currently offline. Some features of the site may not work correctly. Schoutens Published Business. This is a complete guide to the pricing and risk management of convertible bond portfolios.

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AbsalГіn F.

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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.

Karlotta A.

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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.

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