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The Handbook Of Convertible Bonds


The Handbook Of Convertible Bonds
Author: Jan De Spiegeleer
Publisher: John Wiley & Sons
ISBN: 1119978068
Size: 63.73 MB
Format: PDF, Docs
View: 4490
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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 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.




The Handbook Of Hybrid Securities


The Handbook Of Convertible Bonds
Author: Jan De Spiegeleer
Publisher: John Wiley & Sons
ISBN: 1118450027
Size: 10.38 MB
Format: PDF, Mobi
View: 6726
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Introducing a revolutionary new quantitative approach to hybrid securities valuation and risk management To an equity trader they are shares. For the trader at the fixed income desk, they are bonds (after all, they pay coupons, so what's the problem?). They are hybrid securities. Neither equity nor debt, they possess characteristics of both, and carry unique risks that cannot be ignored, but are often woefully misunderstood. The first and only book of its kind, The Handbook of Hybrid Securities dispels the many myths and misconceptions about hybrid securities and arms you with a quantitative, practical approach to dealing with them from a valuation and risk management point of view. Describes a unique, quantitative approach to hybrid valuation and risk management that uses new structural and multi-factor models Provides strategies for the full range of hybrid asset classes, including convertible bonds, preferreds, trust preferreds, contingent convertibles, bonds labeled "additional Tier 1," and more Offers an expert review of current regulatory climate regarding hybrids, globally, and explores likely political developments and their potential impact on the hybrid market The most up-to-date, in-depth book on the subject, this is a valuable working resource for traders, analysts and risk managers, and a indispensable reference for regulators




Handbook Of Hybrid Instruments


The Handbook Of Convertible Bonds
Author: Izzy Nelken
Publisher: John Wiley & Sons Incorporated
ISBN:
Size: 37.59 MB
Format: PDF, ePub
View: 4312
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An indispensable tool to steer readers thought the complex maze of hybrid instruments! Hybrid instruments - essentially bonds with an equity component - are found in a multitude of guises. This generic heading encompasses a seemingly endless array of financial instruments, including convertible bonds, mandatory convertibles, reverse convertibles, preferred shares, ELKS, DECS and Lyons. Within each one of these instruments are found a wide range of variations and features. These include reset, negative pledge, screw and forced conversion clauses, as well as step up coupons, call schedules, call options with soft and hard protection etc. The range of possibilities can seem bewildering, but it is this very flexibility which proves a huge attraction for investors, issuers and financial institutions. On the sell side companies issue these securities and corporate service departments advise on the type of options to include in them. On the buy side, investment managers seek to build portfolios with limited risk exposure using these securities and hedge funds utilise arbitrage opportunities between the convertible bond and the common share. The opportunities are endless but the seemingly labyrinthine complexities can prove daunting. The Handbook of Hybrid Instruments helps steer a clear path through the maze. Izzy Nelken has drawn together a team of experts to provide in-depth analysis of many of the key issues that both sellers and buyers require in order to operate effectively and profitably. A general introduction is followed by specific information on key clauses and variations, valuation methods, the impact on a firm's value following the public issuance of convertibles, details on when an issuer should call a convertible and the impact of these provisions on the price, the difficult requirement of input data to make sense of the models, indexes and reset convertibles. Finally, a highly useful glossary is provided of all the key terms used in this field. An analytical CD is also provided with the book, containing sample software of ConvB++. ConvB++ combines complex state of the art models with a simple, user friendly interface to assess fair values prices and to hedge parameters of hybrid instruments. The Handbook of Hybrid Instruments is an indispensable explanatory and analytical tool for all professionals looking for the latest thinking on convertibles from some of the world's leading experts.




The Handbook Of Convertibles


The Handbook Of Convertible Bonds
Author: Simon R. McGuire
Publisher: New York : New York Institute of Finance
ISBN:
Size: 56.36 MB
Format: PDF, Docs
View: 876
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Extremely practical and comprehensive reference to convertible securities. Provides actual case examples walking readers through the calculations involved.



The Handbook of Convertible Bonds
Language: en
Pages: 396
Authors: Jan De Spiegeleer, Wim Schoutens
Categories: Business & Economics
Type: BOOK - Published: 2011-07-07 - Publisher: John Wiley & Sons
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
The Handbook of Hybrid Securities
Language: en
Pages: 408
Authors: Jan De Spiegeleer, Wim Schoutens, Cynthia Van Hulle
Categories: Business & Economics
Type: BOOK - Published: 2014-08-06 - Publisher: John Wiley & Sons
Introducing a revolutionary new quantitative approach to hybrid securities valuation and risk management To an equity trader they are shares. For the trader at the fixed income desk, they are bonds (after all, they pay coupons, so what's the problem?). They are hybrid securities. Neither equity nor debt, they possess
Handbook of Hybrid Instruments
Language: en
Pages: 236
Authors: Izzy Nelken, Israel Nelken
Categories: Business & Economics
Type: BOOK - Published: 2000-07-26 - Publisher: John Wiley & Sons Incorporated
An indispensable tool to steer readers thought the complex maze of hybrid instruments! Hybrid instruments - essentially bonds with an equity component - are found in a multitude of guises. This generic heading encompasses a seemingly endless array of financial instruments, including convertible bonds, mandatory convertibles, reverse convertibles, preferred shares,
The Handbook of Convertibles
Language: en
Pages: 163
Authors: Simon R. McGuire
Categories: Business & Economics
Type: BOOK - Published: 1991 - Publisher: New York : New York Institute of Finance
Extremely practical and comprehensive reference to convertible securities. Provides actual case examples walking readers through the calculations involved.
The Handbook of Fixed Income Securities, Chapter 59 - Convertible Securities and Their Investment Characteristics
Language: en
Pages: 25
Authors: Frank Fabozzi, Frank J. Fabozzi
Categories: Business & Economics
Type: BOOK - Published: 2005-04-15 - Publisher: McGraw Hill Professional
From The Handbook of Fixed Income Securities--the most authoritative, widely read reference in the global fixed income marketplace--comes this sample chapter. This comprehensive survey of current knowledge features contributions from leading academics and practitioners and is not equaled by any other single sourcebook. Now, the thoroughly revised and updated seventh