The handbook of convertible bonds : pricing, strategies and risk management /
The Handbook of Convertible Bonds is a comprehensive guide to the pricing and risk management of this highly profitable asset in a post credit crunch setting.
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| Format: | eBook |
| Language: | English |
| Published: |
Hoboken, N.J. : Chichester :
Wiley ; John Wiley [distributor],
©2011.
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| Series: | Wiley finance series.
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| Online Access: | Connect to the full text of this electronic book |
| Summary: | The Handbook of Convertible Bonds is a comprehensive guide to the pricing and risk management of this highly profitable asset in a post credit crunch setting. Part I introduces the convertibles market, coving the impact that the 2008 credit crunch has had on the markets. It shows how to build up a convertible bond and introduces the reader to the traditional convertible vocabulary of yield to put, premium, conversion ration, delta, gamma, vega, and parity. The market of stock borrowing and lending is also covered in detail. Using an intuitive approach based on the Jensen inequality, the authors also show the advantages of using a hybrid to add value. The authors then go on to give a complete explanation of the different features that can be embedded in convertible bonds. Part II shows readers how to price convertibles, covering the different parameters used in valuation models: credit spreads, volatility, interest rates and borrow fees and maturity. Part III concludes the book by covering the all important risk management part of the process in detail. --Book Jacket. |
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| Physical Description: | 1 online resource (xii, 378 pages : : illustrations.) |
| Bibliography: | Includes bibliographical references (pages (363-368) and index. |
| ISBN: | 9781118374696 (electronic bk.) 111837469X (electronic bk.) |