Pricing Convertible Bonds (Wiley Trader's Exchange) - Hardcover

Über die Autorin bzw. den Autor

KEVIN B. CONNIOLLYin used to be Head of Quantitative Research atJames Capel & Co. He then joined Cresvale International AssetManagement as Director responsible for instituting scientific riskmanagement for Cresvale s principal Japanese warrants market-makingsection. He is currently undertaking research into complexvolatility trading for Refco Overseas Ltd. He also lectures at CityUniversity Business School and London Guildhall University, UK.Kevin has already published a book in 1997, Buying and SellingVolatility.

Von der hinteren Coverseite

The Convertible Bonds (CB) market is growing all the time. To date, over one trillion dollars worth of CBs are in circulation. Corporations are finding this source of fund-raising more and more attractive. And for different reasons, the buyers are finding CBs increasingly attractive investment vehicles. Kevin Connolly has put together an excellent treatment of pricing convertible bonds, some of the chapters are:

• Returns distributions and associated descriptive statistics
• Modelling the share price process
• The basic convertible bond model
• Introducing the complications
• Convertible bond sensitivities
• Using equity warrent models to price CBs
• Refix clauses

Aus dem Klappentext

Convertible bonds are a hybrid of bond and equity. Like a bond, they provide the holder with an income, although this is lower than on a conventional bond because the holder also has the right to buy the issuer?s shares at a predetermined price during the life of the bond. These instruments now appeal to a much wider range of investors. There are few works on the subject of pricing convertible bonds. Most books discussing derivative products cover all details of pricing futures and options in minute detail. Convertible bonds and warrants are usually mentioned as an after thought in the latter chapters. This is the first book to address the very complex issue of pricing convertible bonds.