Articles liés à Pricing Convertible Bonds

Pricing Convertible Bonds - Couverture rigide

Connolly

 
9780471978725: Pricing Convertible Bonds
Couverture rigide
ISBN 10 : 0471978728 ISBN 13 : 9780471978725
Editeur : Wiley, 1998

Synopsis

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 moreattractive. And for different reasons, the buyers are finding CBsincreasingly attractive investment vehicles.

There are few works on the subject of pricing convertible bonds.Most books discussing derivative products cover all details ofpricing futures and options in minute detail. Convertible bonds andwarrants are usually mentioned as an after thought in the latterchapters. This is the first book to address the very complex issueof pricing convertible bonds.

Kevin Connolly, Researcher of complex volatility trading for RefcoOverseas Ltd. and Lecturer at City University Business School andLondon Guildhall University, has put together an excellenttreatment of pricing convertible bonds, delving into topics suchas:
* Returns distributions and associated descriptive statistics
* Modeling the share price process
* The basic convertible bond model
* Introducing the complications
* Convertible bond sensitivities
* Using equity warrant models to price CBs
* Refix clauses

Fund managers, hedge players/traders, undergraduates andpostgraduates will find this book invaluable. Easy to understandsoftware on Microsoft Excel spreadsheets is also supplied.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

À propos de l'auteur

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.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
Wiley
Date d'édition
1998
Langue
anglais
ISBN 10 
0471978728
ISBN 13 
9780471978725
Reliure
Relié
Nombre de pages
271
Coordonnées du fabricant
non disponible
Personne responsable
non disponible