{"product_id":"convertible-arbitrage-isbn-9780471423614","title":"Convertible Arbitrage","description":"Minimize risk and maximize profits with convertible arbitrage\u003cbr\u003e Convertible arbitrage involves purchasing a portfolio of convertible securities-generally convertible bonds-and hedging a portion of the equity risk by selling short the underlying common stock. This increasingly popular strategy, which is especially useful during times of market volatility, allows individuals to increase their returns while decreasing their risks. Convertible Arbitrage offers a thorough explanation of this unique investment strategy. Filled with in-depth insights from an expert in the field, this comprehensive guide explores a wide range of convertible topics. Readers will be introduced to a variety of models for convertible analysis, \"the Greeks,\" as well as the full range of hedges, including titled and leveraged hedges, as well as swaps, nontraditional hedges, and option hedging. They will also gain a firm understanding of alternative convertible structures, the use of foreign convertibles in hedging, risk management at the portfolio level, and trading and hedging risks. Convertible Arbitrage eliminates any confusion by clearly differentiating convertible arbitrage strategy from other hedging techniques such as long-short equity, merger and acquisition arbitrage, and fixed-income arbitrage.\u003cbr\u003e Nick Calamos (Naperville, IL) oversees research and portfolio management for Calamos Asset Management, Inc. Since 1983 his experience has centered on convertible securities investment. He received his undergraduate degree in economics from Southern Illinois University and an MS in finance from Northern Illinois University.\"Convertible Arbitrage\" ist ein praxisorientierter und umfassender Ratgeber, der sich mit einer interessanten Investmentstrategie auseinandersetzt - der 'Convertible Arbitrage'.\u003cbr\u003e \u003cbr\u003e Bei dieser Strategie geht es darum, ein Portfolio aus wandelbaren Wertpapieren anzulegen - in der Regel Wandelanleihen -, wobei das Risiko teilweise dadurch abgesichert wird, dass die zugrundeliegende Stammaktie leerverkauft wird.\u003cbr\u003e \u003cbr\u003e Diese Strategie erfreut sich wachsender Beliebtheit und ist insbesondere in Zeiten hoher Marktvolatilität von Nutzen, denn sie ermöglicht Finanzexperten eine Steigerung der Rendite bei einer Verringerung des Risikos.\u003cbr\u003e \u003cbr\u003e \"Convertible Arbitrage\" erläutert diese einzigartige Investmentstrategie fundiert und detailliert.\u003cbr\u003e \u003cbr\u003e Mit einer Fülle von Experten-Informationen.\u003cbr\u003e \u003cbr\u003e Autor Nick Calamos ist ein anerkannter Fachmann auf diesem Gebiet. Er ist regelmäßig auf CNBC zu sehen und wird häufig von Fachzeitschriften interviewt. \u003cp\u003e\u003cb\u003eChapter 1 Convertible Arbitrage: An Overview 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eConvertible Arbitrage: A Brief History 1\u003c\/p\u003e \u003cp\u003eWhy Hedge with Convertibles? 6\u003c\/p\u003e \u003cp\u003eConvertible Arbitrage Performance 7\u003c\/p\u003e \u003cp\u003eWhat About Risks? 12\u003c\/p\u003e \u003cp\u003eBasics of Convertible Securities 15\u003c\/p\u003e \u003cp\u003eRisk-Reward Analysis 18\u003c\/p\u003e \u003cp\u003eMethods of Valuation 18\u003c\/p\u003e \u003cp\u003eConvertible Profile Graph 22\u003c\/p\u003e \u003cp\u003eBasics of Convertible Arbitrage 23\u003c\/p\u003e \u003cp\u003eMultiple Convertible Structures 26\u003c\/p\u003e \u003cp\u003eAppendix 1.1 32\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 2 Valuation 34\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eConvertible Valuation Models 34\u003c\/p\u003e \u003cp\u003eBinomial Option Model 34\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 3 The Greeks 48\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eMeasures of Risk 48\u003c\/p\u003e \u003cp\u003eDelta (∆) 48\u003c\/p\u003e \u003cp\u003eGamma (Γ) 51\u003c\/p\u003e \u003cp\u003eVega (v) 55\u003c\/p\u003e \u003cp\u003eTheta (ϑ) 57\u003c\/p\u003e \u003cp\u003eRho (ρ) 59\u003c\/p\u003e \u003cp\u003eMore on Volatility 61\u003c\/p\u003e \u003cp\u003eChi (χ) 64\u003c\/p\u003e \u003cp\u003eOmicron (ο) 65\u003c\/p\u003e \u003cp\u003eUpsilon (u) 67\u003c\/p\u003e \u003cp\u003ePhi (f) 69\u003c\/p\u003e \u003cp\u003eMandatory Convertible Greeks 70\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 4 Credit and Equity Considerations 74\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCredit Evaluation 74\u003c\/p\u003e \u003cp\u003eCredit Analysis and Equity Market Feedback 76\u003c\/p\u003e \u003cp\u003eAsset Value Credit Evaluation 79\u003c\/p\u003e \u003cp\u003eCash Flow and Valuing a Business 85\u003c\/p\u003e \u003cp\u003eBusiness Valuation Model 85\u003c\/p\u003e \u003cp\u003eI. Cash Inflows: Capital Employed 87\u003c\/p\u003e \u003cp\u003eII. Cash Outflows: Economic Profit 94\u003c\/p\u003e \u003cp\u003eIII. Cash-Inflow Model 100\u003c\/p\u003e \u003cp\u003eIV. Intrinsic Business Value 106\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 5 Convertible Arbitrage Techniques—Delta Hedging 110\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eDelta Neutral Hedge (Long Volatility) 112\u003c\/p\u003e \u003cp\u003eDelta Estimates versus Theoretical Deltas 117\u003c\/p\u003e \u003cp\u003eDynamic Rebalancing of the Delta Neutral Hedge 117\u003c\/p\u003e \u003cp\u003eDelta Neutral Hedge on Leverage 120\u003c\/p\u003e \u003cp\u003eDelta Hedge—Currency Hedge Overlay 122\u003c\/p\u003e \u003cp\u003eAppendix 5.1 128\u003c\/p\u003e \u003cp\u003eAppendix 5.2 131\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 6 Gamma Capture Hedging 134\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCapturing the Gamma in a Convertible Hedge 134\u003c\/p\u003e \u003cp\u003eBearish Tilt Gamma Convertible Hedge 141\u003c\/p\u003e \u003cp\u003eBearish Gamma Hedge on Leverage 143\u003c\/p\u003e \u003cp\u003eThe Gamma Tilt Hedge’s Role in a Market Neutral Portfolio 145\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 7 Convertible Option Hedge Techniques 148\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCovered or Partially Covered Convertible Call Option Hedge 151\u003c\/p\u003e \u003cp\u003eLong Convertible Stock Hedge with Call Write Overlay 154\u003c\/p\u003e \u003cp\u003eSynthetic Bond—Long Busted Convertible with Call Write and Long Out-of-the-Money Call for Protection 157\u003c\/p\u003e \u003cp\u003eConvertible Stock Hedge—Put Purchase Provides Additional Downside Protection 161\u003c\/p\u003e \u003cp\u003eConvertible Hedge Call Write with Protective Long Put 165\u003c\/p\u003e \u003cp\u003eMandatory Convertible Preferred—Stock Hedge with Call Write Overlay 169\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 8 Convertible Asset Swaps and Credit Default Swaps 172\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eConvertible Asset Swaps—Extracting Cheap Options from Investment-Grade Convertibles 172\u003c\/p\u003e \u003cp\u003eThe Mechanics of Convertible Asset Swapping 173\u003c\/p\u003e \u003cp\u003eSwap Hedge Setup 176\u003c\/p\u003e \u003cp\u003eConvertible Bond Credit Default Swap—Transfer Credit Risk in a Hedge 179\u003c\/p\u003e \u003cp\u003eAppendix 8.1 185\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 9 Non-traditional Hedges 194\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe Reverse Hedge 194\u003c\/p\u003e \u003cp\u003eCall Option Hedge: Monetization of a Cheap Embedded Call Option 199\u003c\/p\u003e \u003cp\u003eStock Hedge to Capture Cheap or Free Put Options 200\u003c\/p\u003e \u003cp\u003eConvergence Hedges 210\u003c\/p\u003e \u003cp\u003eMerger and Acquisition Risk Arbitrage Trades 217\u003c\/p\u003e \u003cp\u003eReset Convertibles (or Death Spiral Convertibles) 218\u003c\/p\u003e \u003cp\u003eCapital Structure Hedge 218\u003c\/p\u003e \u003cp\u003eDistressed Convertible Hedge or Negative Gamma Hedge Opportunities 220\u003c\/p\u003e \u003cp\u003eBasket Hedging Equity Delta 231\u003c\/p\u003e \u003cp\u003eSynthetic Worksheet Hedge 234\u003c\/p\u003e \u003cp\u003eDividend Reduction Convertible Hedge 236\u003c\/p\u003e \u003cp\u003eTrading Desk Value Added 239\u003c\/p\u003e \u003cp\u003eTrade Execution 240\u003c\/p\u003e \u003cp\u003eAppendix 9.1 242\u003c\/p\u003e \u003cp\u003eAppendix 9.2 244\u003c\/p\u003e \u003cp\u003eTake-Over Risks—An Example 244\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 10 Portfolio Risk Management 248\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eBalance Sheet Leverage 250\u003c\/p\u003e \u003cp\u003eScenario Analysis 252\u003c\/p\u003e \u003cp\u003eHedging Systematic Risks with Index Options 255\u003c\/p\u003e \u003cp\u003eHedging Interest Rate Risk—Yield Curve Shifts 257\u003c\/p\u003e \u003cp\u003eHedging Volatility with Volatility Swaps 258\u003c\/p\u003e \u003cp\u003eHedging Omicron with Volatility Swaps 263\u003c\/p\u003e \u003cp\u003eHedging Omicron with Credit Default Swap Basket or Short Closed End Funds 265\u003c\/p\u003e \u003cp\u003eRough Spots for Convertible Arbitrage 266\u003c\/p\u003e \u003cp\u003eManaging the Convertible Arbitrage Manager 271\u003c\/p\u003e \u003cp\u003eGlossary 273\u003c\/p\u003e \u003cp\u003eIndex 289\u003c\/p\u003e \"...filled with in-depth insights and a wide range of convertible topics, provides a thorough explanation...\" (\u003ci\u003eFinancial World\u003c\/i\u003e, January 2004) 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.   Investment professionals familiar with convertible arbitrage techniques recognize the strategy as a rock-solid tool for generating significant returns regardless of market movements. It’s no surprise, then, that amidst the backdrop of market volatility and investor uncertainty, the field of convertible arbitrage keeps growing. Since 1993, the convertible arbitrage market has grown at an astounding 45% compound annual growth rate through the first half of 2002 to $24 billion.*  \u003cp\u003eIn Convertible Arbitrage: Insights and Techniques for Successful Hedging, renowned investment expert Nick P. Calamos shows you ways to make the most of convertible arbitrage, explaining how to boost returns while decreasing risk–no matter what the market is doing.\u003c\/p\u003e \u003cp\u003eThe practice of convertible arbitrage takes advantage of the unique hybrid nature of convertible securities, which combine both fixed-income and equity characteristics. It typically involves matching a long position in convertible securities–usually convertible bonds–with a short position of corresponding stock. The bond pays interest and guarantees a yield upon maturity–but you also can participate in the movement of the underlying stock because a convertible bond’s option component makes it readily convertible into stock. Convertible arbitrage thus allows investors to create positions that achieve either market-neutral returns or that have a bias towards a security’s future price, offering tools to both the defensive and aggressive investor.\u003c\/p\u003e \u003cp\u003eThis not-to-be-missed guide gives you:\u003c\/p\u003e \u003cul\u003e \u003cli\u003eA top-to-bottom overview of convertible arbitrage–its history, how it works, and why it is especially useful in a volatile market\u003c\/li\u003e \u003cli\u003eIn-depth coverage of convertible valuation models and the \"greeks,\" the statistical qualifications of convertible functions\u003c\/li\u003e \u003cli\u003eReasons why the credit and business valuation of a convertible can make or break your hedge position\u003c\/li\u003e \u003cli\u003eA thorough review of convertible arbitrage techniques–from delta hedges and convertible option hedge techniques to swaps and nontraditional hedges\u003c\/li\u003e \u003cli\u003eAn insider’s guide to portfolio risk management, including tips on portfolio evaluation, risk analysis, and optimization\u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003eThe array of convertible securities available–and the ever-shifting financial engineering behind them–demands a practical working knowledge of convertible arbitrage hedging techniques. Not only does Convertible Arbitrage put those techniques at your fingertips, it also helps you use those techniques to prepare for–and profit from–new twists in convertible terms, types of securities, or derivative hedge products.\u003c\/p\u003e \u003cp\u003e*Tremont Advisers, Inc.\u003c\/p\u003e \u003cp\u003e\"The Calamos Convertible Fund offers the Holy Grail in investing–a long-term return superior to the index with less volatility.\"\u003cbr\u003e –William Harding, Analyst\u003cbr\u003e Morningstar Investment Services\u003c\/p\u003e  Master convertible arbitrage and put profits within reach  \u003cp\u003e\"Finally, we have a comprehensive, practical, and lucid book on convertible arbitrage from one of the most seasoned investors in this growing asset class.\"\u003cbr\u003e –Venu Krishna, CFA\u003cbr\u003e Head of U.S. Convertible Research, Lehman Brothers\u003c\/p\u003e \u003cp\u003e\"Nick Calamos is one of the most experienced and successful convertible bond managers in the mutual fund industry. Who better to explain convertible arbitrage strategies?\"\u003cbr\u003e —William Harding, Analyst, Morningstar Investment Services\u003c\/p\u003e \u003cp\u003e\"Convertible Arbitrage is an indispensable resource, and is required reading for all fund of funds analysts and portfolio managers that cover this strategy.\"\u003cbr\u003e –Joseph G. Nicholas, Chairman and CEO\u003cbr\u003e HFR Asset Management, LLC\u003c\/p\u003e \u003cp\u003eIn good markets and bad, convertible arbitrage can give investors the best of both worlds: the safety of bonds and all the possibilities of stock-like performance.\u003c\/p\u003e \u003cp\u003eThis is partly why convertible arbitrage–following the larger trend of hedge funds–has moved to center stage in the last decade. But profiting from this increasingly popular investment strategy takes much more than knowing a few ground rules. It takes Convertible Arbitrage: Insights and Techniques for Successful Hedging.\u003c\/p\u003e \u003cp\u003eWritten by leading investment authority Nick P. Calamos, this comprehensive, just-in-time book covers:\u003c\/p\u003e \u003cul\u003e \u003cli\u003eWhat the convertible arbitrage strategy is and what distinguishes it from other hedging techniques\u003c\/li\u003e \u003cli\u003eHow to tap into successful convertible valuation models\u003c\/li\u003e \u003cli\u003eThe full range of hedges, from tilted and leveraged hedges to swaps and option hedging\u003c\/li\u003e \u003cli\u003eAnd more!\u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003eNick P. Calamos is the first recipient of the Excellence in Fund Management Award for Calamos Growth and Income Fund, bestowed by S\u0026amp;P and BusinessWeek.\u003c\/p\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47988990017765,"sku":"NP9780471423614","price":89.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9780471423614.jpg?v=1761782337","url":"https:\/\/k12savings.com\/products\/convertible-arbitrage-isbn-9780471423614","provider":"K12savings","version":"1.0","type":"link"}