Name: Pricing Convertible Bonds
Author: Connolly (Author)
ISBN: 9780471978725

Pricing Convertible Bonds book cover

Pricing Convertible Bonds

Author(s): Connolly (Author)

Publisher: Wiley
Publication Date: 1 Oct. 1998
Edition: 1st
Language: English
Print length: 271 pages
ISBN-10: 9780471978725
ISBN-13: 9780471978725

Book Description

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.

Editorial Reviews

From the Inside Flap

Convertible bonds are a hybrid of bond and equity. Like a bond, they provide the holder with an income, although this is lower than on a conventional bond because the holder also has the right to buy the issuer?s shares at a predetermined price during the life of the bond. These instruments now appeal to a much wider range of investors. 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.

From the Back Cover

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 statistics
Modelling the share price process
The basic convertible bond model
Introducing the complications
Convertible bond sensitivities
Using equity warrent models to price CBs
Refix clauses

Fund 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.

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Pricing Convertible Bonds

Pricing Convertible Bonds

Book Description

Editorial Reviews

From the Inside Flap

From the Back Cover

About the Author

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