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
Fund managers, hedge players/traders, undergraduates and post-graduates will all find this book invaluable. Easy to understand software based on Microsoft Excel spreadsheets is also supplied.
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