Pricing Convertible Bonds. Wiley Trader's Exchange

  • ID: 2210694
  • Book
  • 272 Pages
  • John Wiley and Sons Ltd
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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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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.


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KEVIN B. CONNIOLLYin used to be Head of Quantitative Research at James Capel & Co. He then joined Cresvale International Asset Management as Director responsible for instituting scientific risk management for Cresvale s principal Japanese warrants market–making section. He is currently undertaking research into complex volatility trading for Refco Overseas Ltd. He also lectures at City University Business School and London Guildhall University, UK. Kevin has already published a book in 1997, Buying and Selling Volatility.
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