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

Author: Jan De Spiegeleer; Wim Schoutens; Philippe Jabre
Publisher: Hoboken : John Wiley & Sons, 2011.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
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  Read more...
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Genre/Form: Electronic books
Electronic resource
Handbooks and manuals
Handbooks, manuals, etc
Additional Physical Format: Print version:
De Spiegeleer, Jan.
Handbook of Convertible Bonds : Pricing, Strategies and Risk Management.
Hoboken : John Wiley & Sons, ©2011
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Jan De Spiegeleer; Wim Schoutens; Philippe Jabre
ISBN: 9780470980194 0470980192
OCLC Number: 769341500
Notes: 7.7.5 Rational Issuers.
Description: 1 online resource (398 pages)
Contents: The Handbook of Convertible Bonds; Contents; Reading this Book; Preface; Acknowledgements; PART I THE CONVERTIBLES MARKET; 1 Terminology; 1.1 The Payoff; 1.2 Advantages of Convertibles; 1.2.1 For the Issuer; 1.2.2 For the Investor; 1.3 Basic Terminology; 1.4 Advanced Terminology; 1.5 Legal Terminology; 1.6 Analytics and Hedge Ratios; 2 Convertible Bond Anatomy; 2.1 Payoff to the Investor; 2.2 Payoff Graph; 2.2.1 Example; 2.3 Boundary Conditions; 2.3.1 Bond Floor; 2.3.2 Parity; 2.3.3 Investment Premium; 2.3.4 Conversion Premium; 2.4 Effect of the Call Protection; 2.5 Announcement Effect. 2.5.1 Dilution2.5.2 Arbitrage Activity; 3 Convertible and Hybrid Structures; 3.1 Preferred Shares; 3.2 Convertible Bond Option; 3.3 Reverse Convertible; 3.4 Perpetuals; 3.5 Cross-Currency; 3.6 Mandatory; 3.6.1 PERCS; 3.6.2 PEPS; 3.7 Cashout Option; 3.8 Exchangeable; 3.9 Dividend Entitlement; 4 Convertible Bonds Market; 4.1 The Convertible Universe; 4.1.1 Credit Rating; 4.1.2 Convertible Type; 4.1.3 Convertible Category; 4.1.4 Maturity; 4.1.5 Region; 4.1.6 144A; 4.2 The Prospectus; 4.3 The Investors; 4.3.1 Outright Investors; 4.3.2 Convertible Bond Arbitrageurs; 4.3.3 Example. 4.3.4 Conclusions4.4 Market Participants; 4.4.1 Lead Manager; 4.4.2 Trustee; 4.4.3 Paying Agent; 4.4.4 Market Makers; 4.5 New Issuance; PART II PRICING; 5 The Road to Convexity; 5.1 Break-Even Analysis; 5.1.1 Dollar Method; 5.1.2 Equity Method; 5.2 Discounted Yield Advantage; 5.3 Convexity; 5.4 Jensen's Inequality; 5.5 Time Decay; 5.6 Double-Signed Gamma; 5.7 Colour; 5.8 First Steps Using Convexity; 5.8.1 A Fixed Income Investor; 5.8.2 An Equity Investor; 6 Basic Binomial Trees; 6.1 Models; 6.2 The Basic Ingredients; 6.3 A Primer in Stochastic Calculus; 6.3.1 Stochastic Equations. 6.3.2 Itō's Lemma6.3.3 Shares as Generalized Wiener Processes; 6.3.4 Shares as a Log Process; 6.3.5 Linking Both; 6.4 Elementary Credit Model; 6.4.1 Probabilities; 6.4.2 Recovery Rate; 6.4.3 Credit Triangle; 6.5 Binomial Equity Models; 6.5.1 Introduction; 6.5.2 Binomial Tree; 6.5.3 Unconditional Default Risk in the Binomial Tree; 6.5.4 Adding Conditional Default Risk; 6.5.5 Alternative Ways to Incorporate Credit Risk; 6.6 Pricing Convertibles Using Binomial Trees; 6.7 Credit Spread Modelling in Binomial Trees: A Practitioner's Approach; 6.8 Conclusions; 7 Multinomial Models. 7.1 Convergence of the Binomial Model7.1.1 Distribution Error; 7.1.2 Non-linearity Error; 7.2 Moments; 7.3 Multinomial Models; 7.4 Trinomial Model; 7.4.1 Solving Moment-Matching Equations; 7.4.2 Alternative Trinomial Models; 7.5 Heptanomial Model; 7.5.1 Solving Moment-Matching Equations; 7.5.2 Calculation Time; 7.6 Further Optimization; 7.6.1 Smoothing; 7.6.2 Adaptive Mesh Method; 7.6.3 Truncation; 7.6.4 Richardson Extrapolation; 7.6.5 Bardhan-Derman-Kani-Ergener Correction; 7.7 Other Refinements; 7.7.1 Stock Borrowing; 7.7.2 Cross-Currency; 7.7.3 Discrete Dividends; 7.7.4 Transaction Costs.

Abstract:

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 con.

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