Valuation Of Convertible Bonds
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Valuation Of Convertible Bonds When Investors Act Strategically
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Author : Christian Koziol
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Valuation Of Convertible Bonds When Investors Act Strategically written by Christian Koziol and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Business & Economics categories.
Christian Koziol shows that various conversion strategies for convertible bonds can be optimal which result in different values for stocks and convertible bonds. A comparative static analysis examines the differences between the properties of the optimal conversion strategies and between the asset values for three conversion variants.
The Valuation Of Convertible Bonds Classic Reprint
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Author : Otto H. Poensgen
language : en
Publisher:
Release Date : 2015-08-05
The Valuation Of Convertible Bonds Classic Reprint written by Otto H. Poensgen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-08-05 with Business & Economics categories.
Excerpt from The Valuation of Convertible Bonds Convertible Bonds are bonds that are convertible into another security at the option of the holder subject to conditions specified in the indenture, For our paper we will restrict the term 'convertible' to mean exchangeable for 'the common stock of the issuing corporation.' The restriction is not a stringent one: the author in examining publicly traded bonds issued between 1948 and 1963 by companies that are traded on an organized stock exchange (or over the counter) found no bonds which were excluded by that definition. The vast majority of nation-wide traded convertible bonds is not only unsecured, but even subordinated to prior or even after-acquired debt. Deducing from cum hoc to ergo propter hoc this has led many writers to state or hypothesize that one of the reasons, if not the principal one, to attach to the bond the convertibility feature was the necessity to have a sweetener make an otherwise unpalatable instrument acceptable to the investor. The conversion price indicates how many dollars of face value must be given up at conversion for each common share. Occasionally, we find a conversion ratio instead, stating into how many shares one debenture of $1,000. About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.
The Valuation Of Convertible Bonds
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Author : Otto H. Poensgen
language : en
Publisher: Franklin Classics Trade Press
Release Date : 2018-11-11
The Valuation Of Convertible Bonds written by Otto H. Poensgen and has been published by Franklin Classics Trade Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-11-11 with History categories.
This work has been selected by scholars as being culturally important and is part of the knowledge base of civilization as we know it. This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. To ensure a quality reading experience, this work has been proofread and republished using a format that seamlessly blends the original graphical elements with text in an easy-to-read typeface. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.
The Handbook Of Convertible Bonds
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Author : Jan De Spiegeleer
language : en
Publisher: John Wiley & Sons
Release Date : 2011-07-07
The Handbook Of Convertible Bonds written by Jan De Spiegeleer and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-07-07 with Business & Economics categories.
This is a complete guide to the pricing and risk management of convertible bond portfolios. Convertible bonds can be complex because they have both equity and debt like features and new market entrants will usually find that they have either a knowledge of fixed income mathematics or of equity derivatives and therefore have no idea how to incorporate credit and equity together into their existing pricing tools. Part I of the book covers the impact that the 2008 credit crunch has had on the markets, it then 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 will also be covered in detail. Using an intuitive approach based on the Jensen inequality, the authors will also show the advantages of using a hybrid to add value - pre 2008, many investors labelled convertible bonds as 'investing with no downside', there are of course plenty of 2008 examples to prove that they were wrong. The authors then go onto give a complete explanation of the different features that can be embedded in convertible bond. Part II shows readers how to price convertibles. It covers the different parameters used in valuation models: credit spreads, volatility, interest rates and borrow fees and Maturity. Part III covers investment strategies for equity, fixed income and hedge fund investors and includes dynamic hedging and convertible arbitrage. Part IV explains the all important risk management part of the process in detail. This is a highly practical 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 highly liquid, high return market.
The Handbook Of Fixed Income Securities Chapter 60 Convertible Securities And Their Valuation
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Author : Frank Fabozzi
language : en
Publisher: McGraw Hill Professional
Release Date : 2005-04-15
The Handbook Of Fixed Income Securities Chapter 60 Convertible Securities And Their Valuation written by Frank Fabozzi and has been published by McGraw Hill Professional this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-04-15 with Business & Economics categories.
From The Handbook of Fixed Income Securities--the most authoritative, widely read reference in the global fixed income marketplace--comes this sample chapter. This comprehensive survey of current knowledge features contributions from leading academics and practitioners and is not equaled by any other single sourcebook. Now, the thoroughly revised and updated seventh edition gives you the facts and formulas you need to compete in today's transformed marketplace. It places increased emphasis on applications, electronic trading, and global portfolio management.
Valuation Of Convertible Bonds
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Author : Poensgen Otto H.
language : en
Publisher:
Release Date : 1901
Valuation Of Convertible Bonds written by Poensgen Otto H. and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1901 with categories.
Valuation Of Convertible Bonds
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Author : Haishi Huang
language : en
Publisher:
Release Date : 2010
Valuation Of Convertible Bonds written by Haishi Huang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
Valuing Convertible Bonds Under The Assumption Of Stochastic Interest Rates
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Author : Peter Carayannopoulos
language : en
Publisher:
Release Date : 1992
Valuing Convertible Bonds Under The Assumption Of Stochastic Interest Rates written by Peter Carayannopoulos and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with categories.
The Valuation And Calibration Of Convertible Bonds
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Author : Sanveer Hariparsad
language : en
Publisher:
Release Date : 2009
The Valuation And Calibration Of Convertible Bonds written by Sanveer Hariparsad and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Convertible bonds categories.
A convertible bond (CB) is a hybrid security possessing the characteristics of both debt and equity. It gives the holder the right to convert the bond into a pre-specified number of shares (usually by the same issuer of the CB) until maturity of the bond, and may also contain additional features such as callability and putability. CBs along with all hybrid securities are difficult to value due to their uncertain income stream. In this dissertation several convertible bond valuation models are suggested, but with particular attention to the calibration of the underlying inputs into the model and also by taking default risk into account, which is extremely important given the subordination of convertibles. The models range from the basic component models that decompose the CB into a straight bond and an exchange/call option; to more sophisticated ones consisting of stochastic interest rates, default risk, volatility structures, and even some exotics such as exchangeable and inflation-linked convertibles. An important aspect often missed by CB valuation models is the presence of negative convexity for extremely low share prices. As such a credit spread function dependent upon the underlying share price is introduced into the Tsiveriotis and Fernandes, and Hung and Wang models which improve upon the accuracy of the original models. Once a reliable model has been developed it becomes necessary to take advantage of convertible arbitrage trading strategies if they exist. The typical delta hedge, gamma hedge and option strategies that many convertible hedge funds employ are explained including the underlying risks with respect to the Greeks.
Convertible Bonds Earnings Dilution And Stock Valuation
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Author : C. T. Rini
language : en
Publisher:
Release Date : 1974
Convertible Bonds Earnings Dilution And Stock Valuation written by C. T. Rini and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1974 with Convertible bonds categories.