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Pricing Convertible Bonds

by Kevin B. Connolly
Save 35% Save 35%
Current price ₹6,318.00
Original price ₹9,720.00
Original price ₹9,720.00
Original price ₹9,720.00
(-35%)
₹6,318.00
Current price ₹6,318.00

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Book cover type: Hardcover
  • ISBN13: 9780471978725
  • Binding: Hardcover
  • Subject: N/A
  • Publisher: Wiley
  • Publisher Imprint: Wiley
  • Publication Date:
  • Pages: 272
  • Original Price: USD 100.0
  • Language: English
  • Edition: N/A
  • Item Weight: 563 grams
  • BISAC Subject(s): Investments & Securities / Bonds and Finance / General

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.

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.

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