Pricing Convertible Bonds

by Kevin B. Connolly

• ISBN13: 9780470331545
• ISBN10: 0470331542
• Format: eBook
• Copyright: 2008-04-01
• Publisher: Wiley

Summary

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.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.

Table of Contents

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

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