HUDU

Pricing Convertible Bonds


€ 168,99
 
gebunden
Lieferbar innert 2 Wochen
Oktober 1998

Beschreibung

Beschreibung

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 statisticsModelling the share price processThe basic convertible bond modelIntroducing the complicationsConvertible bond sensitivitiesUsing equity warrent models to price CBsRefix clausesFund managers, hedge players/traders, undergraduates and post-graduates will all find this book invaluable. Easy to understand software based on Microsoft Excel spreadsheets is also supplied.

Inhaltsverzeichnis

Using Computer Spreadsheets. Returns Distributions and Associated Descriptive Statistics. Modelling the Share Price Process. The Basic Convertible Bond Model. Introducing the Complications. Convertible Bond Sensitivities. Using Equity Warrant Models to Price CBs. Refix Clauses. Appendix. Index.

Portrait

KEVIN B. CONNIOLLYin used to be Head of Quantitative Research at James Capel & Co. He then joined Cresvale International Asset Management as Director responsible for instituting scientific risk management for Cresvale s principal Japanese warrants market-making section. He is currently undertaking research into complex volatility trading for Refco Overseas Ltd. He also lectures at City University Business School and London Guildhall University, UK. Kevin has already published a book in 1997, Buying and Selling Volatility.
EAN: 9780471978725
ISBN: 0471978728
Untertitel: Sprache: Englisch.
Verlag: JOHN WILEY & SONS INC
Erscheinungsdatum: Oktober 1998
Seitenanzahl: 272 Seiten
Format: gebunden
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