Pricing Convertible Bonds

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 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.

Customer Reviews:

Close to useless.......2006-02-11

Sometimes reads like a smorgasbord of topics and facts. Don't see the key topics and themese show through in a consistent manner. Never even talks about other models and risk management/hedging challenges in these respects...

The best of a very bad bunch.......2003-11-10

It's amazing that nobody has written a decent book on convertible bonds. This is the best in a very weak selection.
The book essentially starts at Chapter 6. If he wanted to write a book on modelling in excel he should have thougt about doing it before Jackson and Staunton (Modelling in Excel and vba). However, there isn't any vba here. How another reviewer can say that the pace accelerates enough to keep the attention of the expert is crazy, Chapters 1-5 are very irritating; as I say, they might be fine in another book.
The author's avoidance of vba is a drawback. Why not? It is a logical thing to do.
In the last couple of chapters, the author stops doing excel and just shows the graphs. He even freely refers to a embeded tree spreadsheet and then nonchalently points out that it isn't on the disk provided. Why not?
The real reason is that the binomial method becomes completely unworkable as soon as one introduces complications. One needs to use finite difference methods. FDMs are not even mentioned in this book. The author places his presentation as the state of the art, it isn't. I learned more in 4 pages of one of Wilmott's books (Mr. Numerical DE Solver) [Paul WIlmott on Quantitative Finance, section on convertible bonds] than I did from this book.
If you are interested in building models of convertibles, that can take into account any but the most vanilla features, this is not the place. For a conceptual non-quantitative overview, fine.

Excellent........2002-06-17

This is a very good book. Connolly starts from the beginning, assuming you know nothing, but accelerates at just the right rate to hang on to beginners and not to annoy people who already know the basics. Admittedly, if you're a quant you'll know all this stuff (anyway, if you're already a quant you shouldn't need to buy a book on the subject in the first place). If you're not a quant, it's a fine introduction to how to model convertibles. In fact, there's enough information here for you to have a go at writing your own toy model that takes into account most of the complexities of CBs (including puts and resets), although you'd be a trifle crazy - or extremely confident - to start trading off a model you implemented *only* having read this book.

This is an excellent book for anyone who is a user of CB models, who understands the inputs and outputs, and who wants to know more about what's going on inside the model "black box".

Useful, practical, essential, but MORE Please!.......2001-08-15

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 ýgotta-price-this-bugger-ýcause-my-boss-asked-me-to-and-Iým-the-quant-guy-in-the-shopý this guide, while not strictly a ýcookbook,ý 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 elseýs 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. Connollyýs 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.

not enough.......2001-08-08

A good start, but not enough detail or complexity. Unfortunately, it doesn't seem like there is anything better.

Valuing convertible bonds under the assumption of stochastic interest rates: an empirical investigation.: An article from: Quarterly Journal of Business and Economics

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Valuing convertible bonds under the assumption of stochastic interest rates: an empirical investigation.: An article from: Quarterly Journal of Business and Economics
Peter Carayannopoulos
Manufacturer: University of Nebraska-Lincoln
ProductGroup: Book
Binding: Digital
ASIN: B00096N7OG
Release Date: 2005-07-28

Book Description

This digital document is an article from Quarterly Journal of Business and Economics, published by University of Nebraska-Lincoln on June 22, 1996. The length of the article is 6215 words. The page length shown above is based on a typical 300-word page. The article is delivered in HTML format and is available in your Amazon.com Digital Locker immediately after purchase. You can view it with any web browser.

Citation Details
Title: Valuing convertible bonds under the assumption of stochastic interest rates: an empirical investigation.
Author: Peter Carayannopoulos
Publication: Quarterly Journal of Business and Economics (Refereed)
Date: June 22, 1996
Publisher: University of Nebraska-Lincoln
Volume: v35 Issue: n3 Page: p17(17)

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Pricing von Options- und Wandelanleihen aus finanzwirtschaftlicher Sicht: Eine Analyse und Beurteilung der Pricing-Moglichkeiten bei inlandischen Options- ... und finanzwirtschaftliche Forschungen)

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Pricing von Options- und Wandelanleihen aus finanzwirtschaftlicher Sicht: Eine Analyse und Beurteilung der Pricing-Moglichkeiten bei inlandischen Options- ... und finanzwirtschaftliche Forschungen)
Markus Zwyssig
Manufacturer: P. Haupt
ProductGroup: Book
Binding: Perfect Paperback

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ASIN: 3258047472

Book Description

In today's complex and dynamic world the need to be informed about what is going on in the environment of the organization is increasing rapidly. To this end, organizations implement a process called 'competitive intelligence'. Competitive intelligence (CI) is about gathering and analyzing environmental information for strategic purposes. To gather and analyze this information, information and communication technology (ICT) is an invaluable tool. Examples are: the Internet, data warehouses or specific applications for competitive intelligence. However, the uncritical implementation of these tools may lead to an 'information overload' or to 'environmental myopia'. To select the right ICT tools for CI, an organization needs to understand the role of ICT in the CI-process. Information and Communications Technology for Competitive Intelligence addresses this need. It sets out to assess the role and possibilities of ICT in the intelligence activities from different perspectives.

A New Archetype for Competitive Intelligence

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Excellent first step in migrating toward 21st century CI

A New Archetype for Competitive Intelligence
John J. McGonagle , and Carolyn M. Vella
Manufacturer: Quorum Books
ProductGroup: Book
Binding: Hardcover

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ASIN: 0899309739

Book Description

McGonagle and Vella maintain that competitive intelligence as we know it is just the first step toward the creation of true "corporate intelligence." Their book thus explores ways in which new channels of communication and new uses of information and intelligence will change corporations, and how these changes can be anticipated now in an organization's strategic planning, crisis management, benchmarking, reverse engineering, and defensive intelligence activities. In doing so, they introduce readers to new techniques, such as "shadow benchmarking" and "fractal management analysis." Readable, with useful checklists, forms, reminders, and drawing from real world cases, this book will be essential reading for executives in the public and private sectors, and their colleagues in the academic business community. Vella and McGonagle premise their book on the evidence that modern companies throughout the world are undergoing radical, involuntary transformations, the result of an explosion of raw information suddenly available to them. Not only does this demand new ways to collect, process, and use information, but also a new way to look at and link information sources that until now have been unconnected. After discussing the importance of intelligence today and its greater importance tomorrow, Vella and McGonagle develop the concept of Cyber-Intelligence(TM), then show how it applies to strategy-creation, marketing, crisis management, benchmarking, and other organizational functions. They turn next to data gathering in the context of their Cyber-Intelligence(TM) concept, ending with a thoughtful discussion of where C-I is going next.

Customer Reviews:

Excellent first step in migrating toward 21st century CI.......2000-04-08

The authors are serious professionals with several competitive intelligence books behind them, and try in this book to relate the requirements of competitive intelligence to the emerging opportunities of the Internet and information tools-what they characterize and trademark as "cyber-intelligence". It's a good book, worth reading.

INFORMATION AND COMMUNICATION TECHNOLOGY FOR COMPETITIVE INTELLIGENCE

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INFORMATION AND COMMUNICATION TECHNOLOGY FOR COMPETITIVE INTELLIGENCE

Manufacturer: IRM Press Hershey, London, Melbourne, and Singapore
ProductGroup: Book
Binding: Paperback
ASIN: B000I9Z9WM

Book Description

'Understanding the Hospitality Consumer' presents a unique perspective on consumer behaviour in the hospitality sector. It seeks to focus on the role of consumption in hospitality and to investigate our understanding of its place in the contemporary industry.

Taking the view that successful marketing demands focusing on the customer, this text concentrates on understanding and determining customer needs, relevant factors in consumer buying behaviour and the effectiveness of today's marketing techniques.

Using industry based case studies and examples 'Understanding the Hospitality Consumer' :

* Introduces and explores the role of consumer behaviour theory in the context of hospitality management
* Discusses the principles and research of consumer behaviour and illustrates how they are used in the hospitality industry today
* Examines the value of consumer behaviour research as applied to the contemporary hospitality industry
* Explores the challenges to traditional approaches to consumption posed by the postmodern hospitality consumer

The book's targeted focus and practical application ensures that it is well suited for both students and practising managers in the hospitality field.

A unique perspective on the hospitality consumer
Discusses the development of marketing strategies which take account of postmodern trends of consumption
Includes general industry-wide case studies, as well as specific studies of such companies as Airtours, Scottish & Newcastle, Disney and McDonalds

Understanding the Hospitality Consumer [A book review from: International Journal of Hospitality Management]

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Understanding the Hospitality Consumer [A book review from: International Journal of Hospitality Management]
J. Bareham
Manufacturer: Elsevier
ProductGroup: Book
Binding: Digital
ASIN: B000RR0MO0

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This digital document is a journal article from International Journal of Hospitality Management, published by Elsevier in 2004. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.

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Understanding the Hospitality Consumer.(Book Review): An article from: Journal of Hospitality and Tourism Management

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Understanding the Hospitality Consumer.(Book Review): An article from: Journal of Hospitality and Tourism Management
Diane Phillips
Manufacturer: University of Queensland Press
ProductGroup: Book
Binding: Digital

General | Travel | Subjects | Books
ASIN: B0008DKF0E
Release Date: 2005-07-31

Book Description

This digital document is an article from Journal of Hospitality and Tourism Management, published by University of Queensland Press on August 1, 2003. The length of the article is 836 words. The page length shown above is based on a typical 300-word page. The article is delivered in HTML format and is available in your Amazon.com Digital Locker immediately after purchase. You can view it with any web browser.

Citation Details
Title: Understanding the Hospitality Consumer.(Book Review)
Author: Diane Phillips
Publication: Journal of Hospitality and Tourism Management (Magazine/Journal)
Date: August 1, 2003
Publisher: University of Queensland Press
Volume: 10 Issue: 2 Page: 210(2)

Article Type: Book Review

Distributed by Thomson Gale

Book Description

This book is designed to offer strong advice and training for novice Graphic Arts Professionals delivering completed projects to vendors. Demonstration Software. Project-based instruction. Project data available on dual-platform CD-ROM. Two-color, spiral bound books with four-color illustrations of completed assignments. For all beginners in graphics arts, desktop publishing, and computer design and graphics.

Customer Reviews:

Le livre des presentations.......2004-01-15

Les graphiques faites a l'aide de l'ordinateur attirent les gens. A cause du style constant et des couleurs contemporaines, elles aident aux gens de se rendre compte du saillant, de comprendre le but, et de s'en amuser. Quant aux mots, les caracteres se lisent mieux lorsqu'on se sert du 24-point dans les titres, du 18 dans les soustitres, et du 14 dans tout le reste. Il est plus impactant de choisir le style sans serif dans les titres, le style avec serif dans les textes, surtout lorsqu'on les met en Book antigua, Bookman, Courier new, Garamond, ou Old style. Il est aussi plus impactant de se servir des mots, des frases et des paragraphes plutot courts. Car les graphiques frequentes et convenables ne marchent qu'avec le parler de tous les jours, l'organisation simple, et les mots precis.

Book of Presentations.......2001-06-04

MICROSOFT POWERPOINT 2000: PRESENTATION GRAPHICS WITH IMPACT always get their audience. Just let the AutoContent Wizard guide structure and style from defining the purpose to developing the topic, researching the subject, analyzing the audience, supporting and outlining the points, using visual aids, and delivering the message. Let WordArt special effects rotate, shadow or 3-D text in a consistent design across slides. Let color impact with meaning. Let font sizes be readable: 24 point for titles, 18 point for subtitles, and 14 point for all else. Let titles and headings favor sans serif fonts: the little lines on Book Antigua, Bookman Old Style, Courier New and Garamond serif fonts work better in helping readers to track text. Let paragraphs left align, titles center, and white space set off text. Let body language and conversational speech back up presentation graphics and text. Once again Microsoft has come up with all the information you need in a beautifully organized reader-friendly format. This encyclopedic book consolidates but does leave space on the shelf for Rebecca Bridges Altman's POWERPOINT 2000/98, Brian Reilly's CREATE POWERPOINT PRESENTATIONS IN A WEEKEND, Patrice-Anne Rutledge's USING MICROSOFT POWERPOINT 2000, and Colotta Witherspoon's POWERPOINT 2000 FAST AND EASY.

Book Description

Unique in its exploration of the fields of transportation, travel, tourism, and hospitality as a whole industry, this book features exceptionally accurate and up-to-date information on the products, procedures, technology, and careers in each field—based on the author's extensive experience as a member of the training department in the world's largest travel organization. Content reflects the changes and challenges facing the industry as a result of Sept. 11. Internet problems in each chapter give readers practice with real industry resources. Contains real-life examples of products, services, and organizations; realistic mini-case scenarios; figures, maps, tables, and photographs, many in color; and quick-reference appendices. Places and People—Destination Geography. The North American Aviation System. Airports—Gateways to the World. The International Experience. Travel by Rail. Travel by Road. Cruising. Travelers at Rest—The Hospitality Industry. Touring the World. Meetings and Incentives. Marketing, Sales, and Services. Careers. For those considering a career in transportation, travel, tourism, or hospitality; for travelers wanting to know more about the operation of the industry; and for industry employees who need to know how it all fits together.

Viewpoint: An Introduction to Travel, Tourism, and Hospitality (3rd Edition)

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Viewpoint: An Introduction to Travel, Tourism, and Hospitality (3rd Edition)
Nona S. Starr
Manufacturer: Prentice Hall
ProductGroup: Book
Binding: Paperback
ASIN: B000OHYZY6

Book Description

Practicing Attorneys, Institutional and Corporate Counsel, Chief Financial Officers, Business Executives, and a host of others will immeasurably add to their comprehension of bankruptcy law in general, and Chapter 11 in particular, by reading and keeping readily available this handy, concise, eminently practical reference book. Drawing on the authors extensive experience and expertise in bankruptcy and corporate reorganization, the Fundamentals of Bankruptcy and Corporate Reorganization provides the legal fundamentals that underlie our bankruptcy system and focuses on corporate reorganization by offering the reader a practical guide through the complex labyrinth of Chapter 11. Messrs. Crames and Edelman, who have spent their entire careers immersed in the field and have represented clients with problems covering the spectrum of bankruptcy issues, provide the kind of practice points, observations and insights that make this work uniquely valuable. They have been on the cutting edge as bankruptcy law has evolved and reorganization cases have become more complex and sophisticated.

Book Description

Get the most out of the new Medicare drug coverage!

Everyone wants to get the most out of their retirement benefits -- not to mention the best medical coverage and prescription drug benefits. Social Security, Medicare & Government Pensions clearly explains what the different benefits are, and shows you how to claim what you've earned, including:

the new Medicare prescription-drug coverage

Social Security retirement and disability benefits

Social Security dependents and survivor benefits

Supplemental Security Income

federal, state and local government pensions

Medicare and Medicaid

medigap insurance and Medicare managed-care plans

veterans benefits

The 12th edition is completely updated to provide the latest information: Learn about "Medicare Part D," which now provides coverage for outpatient prescription drug costs -- understand what it covers, how to apply for it, and how to use it. You'll also find the latest on Medicare, Medicare HMOs and other managed care plans, as well as the 12 types of medigap health plans.

This plain-English book is a must-have for anyone age 60 or over, and anyone who helps care for an elder.

Customer Reviews:

Mechanics are solid opinions are very left-wing .......2007-10-22

This book is a very good reference for how these two very important entitlement programs work in as much as the text sticks to that objective. The authors could not resist intermingling a very biased and at times deceptive opinion into the text. The book bashes social security privatization from the point of view that only government can be trusted to handle a person's pension and that private citizens will only be taken advantage of if ever allowed to invest their own money into greedy corporations - what does this have to do with the text's stated purpose. The same approach was taken of Medicare Prescription D which is referred to as a huge corporate giveaway to the pharmaceuticals because the Medicare Administration was not allowed to "negotiate" prices. The latter is quite deceptive as the government does not ever negotiate prices with the private sector; it regulates prices. Can anyone deny that many doctors refuse accepting medicare-only patients because the prices set by Medicare do not reflect market rates for services? Can anyone deny that Medicare has oft times set prices for services based on budgetary constraints as opposed to seeking the best quality service? These authors certainly can. They also bashed Medicare Prescription D while at the same time having to acknowledge it is very successful but only "for the short run" as they say because in the end the profit motivated pharmaceuticals will raise their prices over time at the expense of seniors. This "government is all good and private sector is all bad lingo" is irrelevant to understanding how the programs themselves work as currently defined. Such commentary belongs in another text devoted to socialist propaganda. My objective as a 42-year old is to understand the entitlements to aid my retiring parents as best I can.

An outstanding, basic reference suitable for any public library........2007-09-02

he 12th edition of Attorney Joseph Matthews with Dorothy Matthews Berman's SOCIAL SECURITY, MEDICARE & GOVERNMENT PENSIONS: GET THE MOST OUT OF YOUR RETIREMENT AND MEDICAL BENEFITS provides the latest instructions on getting the most from Medicare, social security and government and veterans benefits. From uncovering benefits and when and how to claim them to qualifying for programs and combining them, this provides an outstanding, basic reference suitable for any public library.

Social Security, Medicare and Pensions: Get the Most Out of Your Retirement and Medical Benefits (6th ed)

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Adequate & Annoying
Significant error in VA section
Could reading about federal regulations be entertaining?
Great summary of the Social Security system!

Social Security, Medicare and Pensions: Get the Most Out of Your Retirement and Medical Benefits (6th ed)
Joseph L. Matthews , and Dorothy Matthews Berman
Manufacturer: Nolo Press
ProductGroup: Book
Binding: Paperback

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ASIN: 0873372891

Book Description

Everyone wants to get the most out of their retirement benefits -- not to mention the best medical coverage.

Social Security, Medicare & Government Pensions clearly explains what the different benefits are, and shows you how to claim what you've earned, including:

* Social Security retirement and disability benefits

* Supplemental Security Income

* government penisons & 401(k)s

* Medicare and Medicaid

* new medical insurance options

* dependents and survivor benefits

* veterans benefits

* and more

Completely updated to provide the latest information and changes in benefits, this plain-English book is a must-have for anyone who is retired or about to be.

Customer Reviews:

Adequate & Annoying.......2004-03-03

The authors' explanation of the workings of the Social Security, Medicare, Medicaid, etc systems is adequate but is not particularly well written and often lacks clarity. This is certainly not one of NOLO's best offerings.

Especially annoying was the authors' frequent and tedious editorializing. I suspect most readers of this book want the facts, not the authors' socialistic, simplistic opinions.

Significant error in VA section.......2002-08-17

page 10/7: "E. Medical Treatment....And dependents and survisors of a veteran who has a service connected disabilities, or who receives a veterans pension, are entitled to care in VA facilities if they are unable to afford private care."

I have been a VA employee for 16 years. The above is WRONG. There IS a pilot program in a handful of VA hospitals allowing dependents to use the VA hospital. Otherwise, this is NOT the case.

..."The VA can also pay for long-term care of an elderly or disabled veteran in a private nursing facility if there is no space in a VA facility."

This is also not entirely correct. The operative would is CAN. However, the VA is only obligated to pay for the care of veterans who have a certain percentage of Service-Connected Disability. If they pay at all for any others, most VA's only pay for care for a VERY limited period of time.

Could reading about federal regulations be entertaining?.......2001-05-04

The authors of this comprehensive guidebook come close to achieving this feat. As they point out, many Americans are not receiving all the benefits they deserve under our current system. By explaining the various benefit programs and laws in conversational English, they hope to help readers ensure they are getting everything to which they are entitled. It's also helpful that the text is presented in a visually interesting two-column format with plenty of headings, boxes, and even the occasional illustration.

Each chapter explains a different benefit program or set of laws designed to protect the rights of older Americans. Security and Medicare take up more than half the book. The discussions of Medicare claims and appeal procedures are particularly thorough, complete with samples of Medicare summary notices explaining what the sometimes confusing columns of numbers mean. There also are chapters on Medigap policies, Veterans benefits, private pensions and 401(k) plans, and federal civil service retirement benefits. However, if you're looking for in-depth information on Medicaid coverage of nursing home costs, this is not your best resource. While Medicaid's basic eligibility rules are briefly discussed, the complexities of transferring assets to qualify for Medicaid benefits are not.

The authors mainly stick to the facts, but every once in a while they reveal their view of our society's tattered safety net. For example, they call our failure to enact a comprehensive, universal health care plan a "national disgrace."

Great summary of the Social Security system!.......1999-08-04

This happens to be the best all-around book concerning the difficult subject of Social Security that I have read. Understandable and very well written. The sections regarding disability are filled with just the info I needed to know.

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