The Handbook of Convertible Bonds: Pricing, Strategies and Risk Management

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9780470689684: The Handbook of Convertible Bonds: Pricing, Strategies and Risk Management

This is a complete guide to the pricing and risk management of convertible bond portfolios. Convertible bonds can be complex because they have both equity and debt like features and new market entrants will usually find that they have either a knowledge of fixed income mathematics or of equity derivatives and therefore have no idea how to incorporate credit and equity together into their existing pricing tools.

Part I of the book covers the impact that the 2008 credit crunch has had on the markets, it then shows how to build up a convertible bond and introduces the reader to the traditional convertible vocabulary of yield to put, premium, conversion ratio, delta, gamma, vega and parity. The market of stock borrowing and lending will also be covered in detail. Using an intuitive approach based on the Jensen inequality, the authors will also show the advantages of using a hybrid to add value - pre 2008, many investors labelled convertible bonds as 'investing with no downside', there are of course plenty of 2008 examples to prove that they were wrong. The authors then go onto give a complete explanation of the different features that can be embedded in convertible bond.

Part II shows readers how to price convertibles. It covers the different parameters used in valuation models: credit spreads, volatility, interest rates and borrow fees and Maturity.

Part III covers investment strategies for equity, fixed income and hedge fund investors and includes dynamic hedging and convertible arbitrage.

Part IV explains the all important risk management part of the process in detail.

This is a highly practical book, all products priced are real world examples and numerical examples are not limited to hypothetical convertibles. It is a must read for anyone wanting to safely get into this highly liquid, high return market.

Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

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1.

Wim Schoutens (Katholieke Universitiet Leuven); Jan de Spiegeleer (Jabre Capital Partners)
Editore: John Wiley and Sons
ISBN 10: 0470689684 ISBN 13: 9780470689684
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Descrizione libro John Wiley and Sons. Condizione libro: New. Brand New. Codice libro della libreria 0470689684

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Jan De Spiegeleer
Editore: John Wiley and#38; Sons (2011)
ISBN 10: 0470689684 ISBN 13: 9780470689684
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Descrizione libro John Wiley and#38; Sons, 2011. HRD. Condizione libro: New. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. Codice libro della libreria FW-9780470689684

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Wim Schoutens, Jan De Spiegeleer
Editore: John Wiley and Sons Ltd, United Kingdom (2011)
ISBN 10: 0470689684 ISBN 13: 9780470689684
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Descrizione libro John Wiley and Sons Ltd, United Kingdom, 2011. Hardback. Condizione libro: New. 246 x 173 mm. Language: English . Brand New Book. This is a complete guide to the pricing and risk management of convertible bond portfolios. Convertible bonds can be complex because they have both equity and debt like features and new market entrants will usually find that they have either a knowledge of fixed income mathematics or of equity derivatives and therefore have no idea how to incorporate credit and equity together into their existing pricing tools. Part I of the book covers the impact that the 2008 credit crunch has had on the markets, it then shows how to build up a convertible bond and introduces the reader to the traditional convertible vocabulary of yield to put, premium, conversion ratio, delta, gamma, vega and parity. The market of stock borrowing and lending will also be covered in detail. Using an intuitive approach based on the Jensen inequality, the authors will also show the advantages of using a hybrid to add value - pre 2008, many investors labelled convertible bonds as investing with no downside , there are of course plenty of 2008 examples to prove that they were wrong. The authors then go onto give a complete explanation of the different features that can be embedded in convertible bond. Part II shows readers how to price convertibles. It covers the different parameters used in valuation models: credit spreads, volatility, interest rates and borrow fees and Maturity. Part III covers investment strategies for equity, fixed income and hedge fund investors and includes dynamic hedging and convertible arbitrage. Part IV explains the all important risk management part of the process in detail. This is a highly practical book, all products priced are real world examples and numerical examples are not limited to hypothetical convertibles. It is a must read for anyone wanting to safely get into this highly liquid, high return market. Codice libro della libreria AAH9780470689684

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Wim Schoutens, Jan De Spiegeleer
Editore: John Wiley and Sons Ltd, United Kingdom (2011)
ISBN 10: 0470689684 ISBN 13: 9780470689684
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Descrizione libro John Wiley and Sons Ltd, United Kingdom, 2011. Hardback. Condizione libro: New. 1. Auflage. 246 x 173 mm. Language: English . Brand New Book. This is a complete guide to the pricing and risk management of convertible bond portfolios. Convertible bonds can be complex because they have both equity and debt like features and new market entrants will usually find that they have either a knowledge of fixed income mathematics or of equity derivatives and therefore have no idea how to incorporate credit and equity together into their existing pricing tools. Part I of the book covers the impact that the 2008 credit crunch has had on the markets, it then shows how to build up a convertible bond and introduces the reader to the traditional convertible vocabulary of yield to put, premium, conversion ratio, delta, gamma, vega and parity. The market of stock borrowing and lending will also be covered in detail. Using an intuitive approach based on the Jensen inequality, the authors will also show the advantages of using a hybrid to add value - pre 2008, many investors labelled convertible bonds as investing with no downside , there are of course plenty of 2008 examples to prove that they were wrong. The authors then go onto give a complete explanation of the different features that can be embedded in convertible bond. Part II shows readers how to price convertibles. It covers the different parameters used in valuation models: credit spreads, volatility, interest rates and borrow fees and Maturity. Part III covers investment strategies for equity, fixed income and hedge fund investors and includes dynamic hedging and convertible arbitrage. Part IV explains the all important risk management part of the process in detail. This is a highly practical book, all products priced are real world examples and numerical examples are not limited to hypothetical convertibles. It is a must read for anyone wanting to safely get into this highly liquid, high return market. Codice libro della libreria AAH9780470689684

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Jan De Spiegeleer, Wim Schoutens, Philippe Jabre (Foreword)
Editore: Wiley (2011)
ISBN 10: 0470689684 ISBN 13: 9780470689684
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Descrizione libro Wiley, 2011. Hardcover. Condizione libro: New. 1. Codice libro della libreria DADAX0470689684

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Wim Schoutens, Jan de Spiegeleer, Philippe Jabre
Editore: John Wiley and Sons Ltd
ISBN 10: 0470689684 ISBN 13: 9780470689684
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Descrizione libro John Wiley and Sons Ltd. Hardback. Condizione libro: new. BRAND NEW, The Handbook of Convertible Bonds: Pricing, Strategies and Risk Management, Wim Schoutens, Jan de Spiegeleer, Philippe Jabre, This is a complete guide to the pricing and risk management of convertible bond portfolios. Convertible bonds can be complex because they have both equity and debt like features and new market entrants will usually find that they have either a knowledge of fixed income mathematics or of equity derivatives and therefore have no idea how to incorporate credit and equity together into their existing pricing tools. Part I of the book covers the impact that the 2008 credit crunch has had on the markets, it then shows how to build up a convertible bond and introduces the reader to the traditional convertible vocabulary of yield to put, premium, conversion ratio, delta, gamma, vega and parity. The market of stock borrowing and lending will also be covered in detail. Using an intuitive approach based on the Jensen inequality, the authors will also show the advantages of using a hybrid to add value - pre 2008, many investors labelled convertible bonds as 'investing with no downside', there are of course plenty of 2008 examples to prove that they were wrong. The authors then go onto give a complete explanation of the different features that can be embedded in convertible bond. Part II shows readers how to price convertibles. It covers the different parameters used in valuation models: credit spreads, volatility, interest rates and borrow fees and Maturity. Part III covers investment strategies for equity, fixed income and hedge fund investors and includes dynamic hedging and convertible arbitrage. Part IV explains the all important risk management part of the process in detail. This is a highly practical book, all products priced are real world examples and numerical examples are not limited to hypothetical convertibles. It is a must read for anyone wanting to safely get into this highly liquid, high return market. Codice libro della libreria B9780470689684

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Jan De Spiegeleer; Wim Schoutens
Editore: Wiley (2011)
ISBN 10: 0470689684 ISBN 13: 9780470689684
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Descrizione libro Wiley, 2011. Hardcover. Condizione libro: New. book. Codice libro della libreria 0470689684

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De Spiegeleer, Jan, Schoutens, Wim
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ISBN 10: 0470689684 ISBN 13: 9780470689684
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Descrizione libro Wiley, 2011. Hardcover. Condizione libro: New. Codice libro della libreria P110470689684

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JAN DE SPIEGELEER
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Descrizione libro 2011. Hardback. Condizione libro: NEW. 9780470689684 This listing is a new book, a title currently in-print which we order directly and immediately from the publisher. Codice libro della libreria HTANDREE0778024

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Wim Schoutens
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Descrizione libro 2011. Hardcover. Condizione libro: New. 10002nd. 175mm x 247mm x 28mm. Hardcover. to know about this highly profitable asset class. This is a complete guide to the pricing and risk management of convertible bond portfolios.Shipping may be from our Sydney, NSW warehouse or from our UK or US warehouse, depending on stock availability. 400 pages. 0.836. Codice libro della libreria 9780470689684

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