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The Handbook of Convertible Bonds: Pricing, Strategies and Risk Management Hardcover – March 14, 2011

ISBN-13: 978-0470689684 ISBN-10: 0470689684 Edition: 1st

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Product Details

  • Hardcover: 400 pages
  • Publisher: Wiley; 1 edition (March 14, 2011)
  • Language: English
  • ISBN-10: 0470689684
  • ISBN-13: 978-0470689684
  • Product Dimensions: 7 x 1.1 x 10 inches
  • Shipping Weight: 1.8 pounds (View shipping rates and policies)
  • Average Customer Review: 3.0 out of 5 stars  See all reviews (2 customer reviews)
  • Amazon Best Sellers Rank: #281,714 in Books (See Top 100 in Books)

Editorial Reviews

From the Inside Flap

“The magnum opus of convertible bond market literature, of excellent practical value to market participants. The authors present a worthy and accessible review of all facets of this important corporate finance instrument, and I recommend it to every current and potential investor in convertible bonds. Bravo!” – Professor Moorad Choudhry, Department of Economics, London Metropolitan University

“The Handbook of Convertible Bonds covers the important market and analytical aspects of the CB business. This is an essential reference work that delivers both breadth of subject matter and depth of detail.” – Paul Wilmott, mathematician, author, cheesemaker

From the Back Cover

Having both equity and debt like features, convertible bonds are highly complex, challenging new market entrants to incorporate credit and equity together into their existing pricing tools.

The Handbook of Convertible Bonds is a comprehensive guide to the pricing and risk management of this highly profitable asset class in a post credit crunch setting.

Part I introduces the convertibles market, covering the impact that the 2008 credit crunch has had on the markets. It 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 is also covered in detail. Using an intuitive approach based on the Jensen inequality, the authors also show the advantages of using a hybrid to add value. The authors then go on to give the advantages of using a hybrid to add value. The authors then go on to give a complete explanation of the different features that can be embedded in convertible bonds. Part II shows readers how to price convertibles, covering the different parameters used in valuation models: credit spreads, volatility, interest rates ad borrow fees and maturity. Part III concludes the book by covering the all important risk management part of the process in detail.

This is a highly piratical 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 market.


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Most Helpful Customer Reviews

2 of 2 people found the following review helpful By Jean-Sylvestre on May 1, 2014
Format: Hardcover
This book is a very detailed and accessible review of the convertible bond market. The author presents the asset class from a practionner point of view with real world examples without forgetting the academic/quant theoretical pricing approach at the same time. A must read for whoever works in the convertible bonds space. This book is always on my desk!
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3 of 4 people found the following review helpful By Sindhu on January 12, 2014
Format: Kindle Edition Verified Purchase
The book has too many egregious errors in the formula used for various calculations. For starters, when calculating the greeks, the author calculates some of them in fractions and some of them in percentages but doesn't indicate a % next to calculations that are percentages. Calculation for Present Value of a risky bond is wrong. The starting equation for deducing λ is also wrong. Having wasted a whole bunch of time identifying and correcting these errors, I refuse to read this book any further. I've simply wasted my time and money on this book. For the records, this is not a matter of me taking note of errata. This is sloppy work on the part of the author and the editor of the book.
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