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商品の説明
内容説明
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.
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.
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. 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 clauses
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カスタマーレビュー
最も参考になったカスタマーレビュー
2 人中、2人の方が、｢このレビューが参考になった｣と投票しています。
形式:ハードカバー
金利、配当など様々の要因に対するCBの感応性を
直感的にうまく説明できている点では入門編として
最適だろうし、日本に発行例の多い、いわゆるrefix
convertiblesのことを扱っているのは類書に例はない
（はず）で、その点では誉められるのだけど、期中
償還にかかわる問題などもうすこし突っ込んでもらえ
れば更に面白かったと思う。いずれにせよCBのトレー
ディング（投資でなく職業としてのトレーディング）を
する者なら必携。
直感的にうまく説明できている点では入門編として
最適だろうし、日本に発行例の多い、いわゆるrefix
convertiblesのことを扱っているのは類書に例はない
（はず）で、その点では誉められるのだけど、期中
償還にかかわる問題などもうすこし突っ込んでもらえ
れば更に面白かったと思う。いずれにせよCBのトレー
ディング（投資でなく職業としてのトレーディング）を
する者なら必携。
2 人中、2人の方が、｢このレビューが参考になった｣と投票しています。
形式:ハードカバー
二項ツリーの基本から親切丁寧に説明をしており、初心者からでも十分に対応できる内容。CBのプライシングの手法の数をもっと幅広く提供して欲しかった。
Amazon.com で最も参考になったカスタマーレビュー (beta)
Amazon.com:
12件のカスタマーレビュー
16 人中、15人の方が、｢このレビューが参考になった｣と投票しています。
Nimble and Suitably Detailed Handling of a Complex Topic!
2000/8/19
形式:ハードカバー
Once the individual investor begins to grasp the complexity of convertible bonds, it beats me as to why he or she would not be inclined to give up the entire enterprise altogether. And this book is so chock full of a convertible maven's essential vitamins and minerals that, after the first reading at least, this investment arena will seem utterly Pyrrhic to a neophyte. Sadly, the book is dense enough that a newcomer is likely to miss its nimble, understated handling of a maddeningly complex topic. It is only after perusing the other available literature on convertibles that Kevin Connolly's competent, intelligent handling dawns on you. Then you see this text as a high-end stereo system amongst crude boom boxes!
Although Connolly writes under the pretext the reader knows next to nothing about the convertible, or even senior debt and common equity instruments, the book may not be the optimal starting point to understand convertibles. For the American reader, there is also the matter that the examples are in pounds sterling, and not in dollars.
But the text provides a terrific point-of-entry for the investor who is left wanting by crude convertible pricing models which fail to adequately account for subtler, but critical, details such as embedded long-put options, refix clauses, and what one ought to do with probability issues. The implicit theme of the book is "every convertible is a different animal...accept it and get nimble enough to competently deal with the instrument's intricacies." The reader is well served --with the theme, the non-condescending explanation, and the tools Connolly offers to deal competently and confidently with convertible complexities.
11 人中、11人の方が、｢このレビューが参考になった｣と投票しています。
It's a start...
1999/6/4
形式:ハードカバー
If you are a beginner to the area then this book could be of some use to you. However, for the more experienced practitioner it is limited in its usefulness. The phrase "beyond the scope of this book" becomes too repetitive whenever the interesting and challenging topics are mentioned. And it is precisely these modeling areas that differentiate the convertible bond from the more trivial option pricing problems that are covered well in other books. This lack of detail in the meatier areas is the biggest disappointment of the book. Generally it is well written and presents the issues clearly - just not enough of the issues that really matter.
10 人中、9人の方が、｢このレビューが参考になった｣と投票しています。
Useful, practical, essential, but MORE Please!
2001/8/16
形式:ハードカバー|Amazonが確認した購入
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-Im-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 elses 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. Connollys 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.
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