Product 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 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.

Product Details

• Amazon Sales Rank: #223859 in Books
• Published on: 1998-08-18
• Number of items: 1
• Binding: Hardcover
• 268 pages

Synopsis
This text explains how to price a convertible bond, the effects of the issuer's call and the refix clauses. Convertible bond pricing software is supplied free with the book, which should allow investors and smaller professional entities alike access to the same models and systems as the large market players.

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 clausesFund 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.

About the Author
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.

Customer Reviews

Convertible Bonds
Overall I thought this was an excellent book. It explains a highly complex area in a relatively simple form which does not require "Rocket Science" mathematics to understand. The examples on the supplied disk are also very well put together and useful. My suggestions for improvements would be more details on how to solve the various equations iteratively, i.e I thought there was too much emphasis on using a spread sheet model, with a couple of chapters devoted to it.

If you are looking for a simple model to price Convertible Bonds which is very well explained then this is the book for you. If you are looking for something more technical and academic which compares and contrasts different pricing models, e.g Finite Differences, Trinomial Pricing and Option Adjusted Spread Analysis and not just Binomial pricing in the context of Convertible Bonds then you will probably find this book not suitable. Having said that the book covers the different generic issues involved in the pricing, e.g coupons, dividends, interest rates , foreign exchange, call and put features etc, very well and this will be of use to all readers.

Very useful, if not indispensible.
Connolly has written a useful, practical book for those who are attempting to price these (increasingly) complex instruments. For more abstract or academic treatments of the topic, seek other sources and the innumerable academic journals of quant finance. But for a nut-work "gotta-price-this-bugger-'cause-my-boss-asked-me-to-and-I'm-the-quant-guy-in-the-shop" this guide, while not strictly a "cookbook," is indispensable. Although it begins at a relatively basic level, it clearly and concisely explains every technique from the simple (y = mx + b) and then step-by-step ratchets up to the Excel-samuri level (MIN and MAX tests after multiple operations of option pricing trees (bi-nomial and tri-nomial)).

I limited my rating to four stars, however, because Connolly only mentions in passing the available (expensive) software-house products that do many of the same things his example spreadsheets do. Fin software needs critics, and I can think of no one better placed than the author to examine them and give front-line quant analysts his views.

In addition, like most worker bees, I try never to reinvent the wheel (programming in C++ and VB or anything else for this kinda thing is undiluted soul-destroying tedium), but at the same time want to thoroughly check out the foundational theory and techniques someone applied before I risk my career on someone else's work. In this case, a good list of the academic sources and current financial literature on the topic would have been a useful and welcome addition to this slender volume.

I suppose a final criticism is that we have all seen the exponential growth of credit derivatives in the past few years. Connolly's next edition will need to address the topic of credit derivatives in relation to convertible bonds, as their use in combination with CBs provides alternate hedging, investment, and speculative strategies not explicitly considered in this book.

最近在做CB的定价，请问哪位有这本书啊？上面是从AMAZON上截取的该书的介绍，觉得不错。如果有，能否提供一下啊，谢谢了！