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Convertible Arbitrage: Insights and Techniques for Successful Hedging Hardcover – June 13, 2003
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In Convertible Arbitrage: Insights and Techniques for Successful Hedging, renowned investment expert Nick P. Calamos shows you ways to make the most of convertible arbitrage, explaining how to boost returns while decreasing riskno matter what the market is doing.
The practice of convertible arbitrage takes advantage of the unique hybrid nature of convertible securities, which combine both fixed-income and equity characteristics. It typically involves matching a long position in convertible securitiesusually convertible bondswith a short position of corresponding stock. The bond pays interest and guarantees a yield upon maturitybut you also can participate in the movement of the underlying stock because a convertible bonds option component makes it readily convertible into stock. Convertible arbitrage thus allows investors to create positions that achieve either market-neutral returns or that have a bias towards a securitys future price, offering tools to both the defensive and aggressive investor.
This not-to-be-missed guide gives you:
- A top-to-bottom overview of convertible arbitrageits history, how it works, and why it is especially useful in a volatile market
- In-depth coverage of convertible valuation models and the "greeks," the statistical qualifications of convertible functions
- Reasons why the credit and business valuation of a convertible can make or break your hedge position
- A thorough review of convertible arbitrage techniquesfrom delta hedges and convertible option hedge techniques to swaps and nontraditional hedges
- An insiders guide to portfolio risk management, including tips on portfolio evaluation, risk analysis, and optimization
The array of convertible securities availableand the ever-shifting financial engineering behind themdemands a practical working knowledge of convertible arbitrage hedging techniques. Not only does Convertible Arbitrage put those techniques at your fingertips, it also helps you use those techniques to prepare forand profit fromnew twists in convertible terms, types of securities, or derivative hedge products.
*Tremont Advisers, Inc.
"The Calamos Convertible Fund offers the Holy Grail in investinga long-term return superior to the index with less volatility."
William Harding, Analyst
Morningstar Investment Services
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Top Customer Reviews
Further credit (excuse the pun) should be given for extension into the CDS market and the use of more advanced credit hedging techniques.
A must read for any academic interested in studying the fixed income arbitrage markets and a useful reference for any practitioner who thinks he knows what is involved in running an arb book.
every book starts with an assumption about the level of sophistication the reader. this book seems to assume different levels in different chapters and even paragraphs. the chapter on equity valuation is written for kids (lose the chapter, nick) and the ones on hedging techniques doesn't even bother to list assumptions behind complex positions.
the author uses the most confusing notations. e.g. Nu-1, literally typed out like that, which is supposed to represent a variable with subscript u-1. geez - whatever happened to computer typesettng with actual subscripts, and why use the same notation for different variables in different formulae? at least he could have used Nu-1 and Mu-1. I spent a lot of time making sense out of this one and assumed he was referring to Nu minus 1!
basically, if the same ideas were carefully thought out and presented by better editing and writing (and typesetting!), this would be an enjoyable book. as it stands, its a torture to go through. such wonderful ideas and such poor presentation. this one went out the door too early.
So the prose is dense. But it eventually "sounds" right to the ear if read over a couple times quickly, but still loaded with very subtle ideas watered down into plain words which can makes me stop and pause to consider each idea as if it were some kind of rosetta stone to the prior material.Read more ›
Most Recent Customer Reviews
Calamos has put together a useful reference for those interested in learning more about the proper pricing of convertibles. Read morePublished on January 7, 2008 by Franz K.
As a technologist charged with implementing a convertible arbitrage fund, this book was incredibly helpful. Read morePublished on August 22, 2006 by JM
I have not read this book,but if you are really serious about arbitrage you should be able to write a program, that simulates the Black-Sholes model using discrete mathematics and... Read morePublished on October 6, 2005 by A_2007_reader
I managed a convertible arbitrage portfolio for over 3 years from 1998-2002. When I began managing, the information found in this one book, had to be gathered from many different... Read morePublished on August 8, 2004 by dean_from_sa
This is by far one of the best books on hedge fund strategies. It's very practical, but also provides enough technical details. Read morePublished on January 28, 2004
Convertible arbitrage is an alternative investment form that is ever-increasing in popularity. This book teaches both portfolio managers and fund of funds analysts everything they... Read morePublished on July 31, 2003