Convertible Arbitrage / Wiley Finance Editions (ePub)

Chapter 1. Convertible Arbitrage: An Overview. Convertible Arbitrage--A Brief History. Why Hedge with Convertibles? Convertible Arbitrage Performance. What About Risks? Basics of Convertible Securities. Risk-Reward Analysis. Methods of Valuation. Convertible Profile Graph. Basics of Convertible Arbitrage. Multiple Convertible Structures. Appendix 1.1. Chapter 2. Valuation. Convertible Valuation Models. Binomial Option Model. Chapter 3. The Greeks. Measures of Risk. Delta (.). Gamma (Gamma). Vega (v). Theta (.). Rho (rho). More on Volatility. Chi (chi). Omicron (o). Upsilon ( upsilon). Phi ( phi). Mandatory Convertible Greeks. Chapter 4. Credit and Equity Considerations. Credit Evaluation. Credit Analysis and Equity Market Feedback. Asset Value Credit Evaluation. Cash Flow and Valuing a Business. Business Valuation Model. I. Cash Inflows: Capital Employed. II. Cash Outflows: Economic Profit. III. Cash-Inflow Model. IV. Intrinsic Business Value. Chapter 5. Convertible Arbitrage Techniques. Delta Neutral Hedge (Long Volatility). Delta Estimates versus Theoretical Deltas. Dynamic Rebalancing of the Delta Neutral Hedge. Delta Neutral Hedge on Leverage. Delta Hedge--Currency Hedge Overlay. Appendix 5.1. Appendix 5.2. Chapter 6. Gamma Hedging. Capturing the Gamma in a Convertible Hedge. Bearish Tilt Gamma Convertible Hedge. Bearish Gamma Hedge on Leverage. The Gamma Tilt Hedge's Role in a Market Neutral Portfolio. Chapter 7. Convertible Option Hedge Techniques. Covered or Partially Covered Convertible Call Option Hedge. Long Convertible Stock Hedge with Call Write Overlay. Synthetic Bond--Long Busted Convertible with Call Write. and Long Out-of-the-Money Call for Protection. Convertible Stock Hedge--Put Purchase Provides Additional. Downside Protection. Convertible Hedge Call Write with Protective Long Put. Mandatory Convertible Preferred--Stock Hedge with Call Write Overlay. Chapter 8. Convertible Asset Swaps and Credit Default Swaps. Convertible Asset Swaps--Extracting

NICK P. CALAMOS is the Head of Investments and Chief Investment Officer overseeing research and portfolio management for Calamos Asset Management, Inc., one of the largest and most well-known convertible investment firms in the country. He oversees the #1 Convertible Fund and the #1 Growth Fund as rated by Lipper and Morningstar for the ten-year period ended 12/31/02. With the firm since 1983, Mr. Calamos has been instrumental in developing the Calamos Convertible Research System (CCRS), a sophisticated, proprietary research system that monitors and scans the entire market for the best available investment opportunities. A Chartered Financial Analyst (CFA), Mr. Calamos is a member of the Investment Analysts Society of Chicago. He has spoken at various conferences and seminars throughout the country on convertible securities investing, has been quoted as an authority on convertible securities by leading financial publications such as Barron's, Fortune, The Wall Street Journal, USA Today, and the New York Times, and has appeared on CNBC and Bloomberg television. He received his undergraduate degree in economics from Southern Illinois University and an MS in finance from Northern Illinois University.

Dieses eBook können Sie uneingeschränkt auf allen Geräten der tolino Familie lesen. Zum Lesen auf sonstigen eReadern und am PC benötigen Sie eine Adobe ID.