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.
Kevin Connolly, Researcher of complex volatility trading for Refco Overseas Ltd. and Lecturer at City University Business School and London Guildhall University, has put together an excellent treatment of pricing convertible bonds, delving into topics such as:
* 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 and postgraduates will find this book invaluable. Easy to understand software on Microsoft Excel spreadsheets is also supplied.
Related Products
- The Handbook of Convertible Bonds: Pricing, Strategies and Risk Management (The Wiley Finance Series)
- Convertible Arbitrage: Insights and Techniques for Successful Hedging
- Global Convertible Investing: The Gabelli Way
- Distress Investing: Principles and Technique (Wiley Finance)
- Handbook of Hybrid Instruments: Convertible Bonds, Preferred Shares, Lyons, Elks, Decs and Other Mandatory Convertible Notes













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