Reading this Book.
Preface.
Acknowledgements.
PART I THE CONVERTIBLES MARKET.
1 Terminology.
1.1 The Payoff.
1.2 Advantages of Convertibles.
1.3 Basic Terminology.
1.4 Advanced Terminology.
1.5 Legal Terminology.
1.6 Analytics and Hedge Ratios.
2 Convertible Bond Anatomy.
2.1 Payoff to the Investor.
2.2 Payoff Graph.
2.3 Boundary Conditions.
2.4 Effect of the Call Protection.
2.5 Announcement Effect.
3 Convertible and Hybrid Structures.
3.1 Preferred Shares.
3.2 Convertible Bond Option.
3.3 Reverse Convertible.
3.4 Perpetuals.
3.5 Cross-Currency.
3.6 Mandatory.
3.7 Cashout Option.
3.8 Exchangeable.
3.9 Dividend Entitlement.
4 Convertible Bonds Market.
4.1 The Convertible Universe.
4.2 The Prospectus.
4.3 The Investors.
4.4 Market Participants.
4.5 New Issuance.
PART II PRICING.
5 The Road to Convexity.
5.1 Break-Even Analysis.
5.2 Discounted Yield Advantage.
5.3 Convexity.
5.4 Jensen's Inequality.
5.5 Time Decay.
5.6 Double-Signed Gamma.
5.7 Colour.
5.8 First Steps Using Convexity.
6 Basic Binomial Trees.
6.1 Models.
6.2 The Basic Ingredients.
6.3 A Primer in Stochastic Calculus.
6.4 Elementary Credit Model.
6.5 Binomial Equity Models.
6.6 Pricing Convertibles Using Binomial Trees.
6.7 Credit Spread Modelling in Binomial Trees: A Practitioner's Approach.
6.8 Conclusions.
7 Multinomial Models.
7.1 Convergence of the Binomial Model.
7.2 Moments.
7.3 Multinomial Models.
7.4 Trinomial Model.
7.5 Heptanomial Model.
7.6 Further Optimization.
7.7 Other Refinements.
7.8 Resets in Multinomial Models.
8 Ascots.
8.1 Risk Components of a Convertible.
8.2 Asset Swaps.
8.3 Ascots.
8.4 Advantages for the Credit Buyer.
8.5 Advantages for the Ascot Buyer.
8.6 Pricing of Ascots.
8.7 Ascot Greeks.
8.8 CB Warrants.
PART III RISK MANAGEMENT AND STRATEGIES.
9 Measuring the Risk.
9.1 Portfolio Risk.
9.2 A Portfolio in Trouble.
9.3 Risk Categories.
9.4 Coherent Risk Measures.
9.5 Option Greeks.
9.6 Fixed Income Measures.
9.7 Cross Greeks.
9.8 Speed and Colour.
9.9 VaR and Beyond.
9.10 Back Testing.
9.11 Stress Testing.
10 Dynamic Hedging.
10.1 Hedge Instruments.
10.2 Delta Hedging.
10.3 Volatility.
10.4 Gamma Trading.
10.5 The Variance Swap.
11 Monte Carlo Techniques for Convertibles.
11.1 Adding More Realism.
11.2 Monte Carlo Method.
11.3 American Monte Carlo.
References.
Index.
