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Minimize risk and maximize profits with convertible arbitrage
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.
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'.

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.

Diese Strategie erfreut sich wachsender Beliebtheit und ist insbesondere in Zeiten hoher Marktvolatilitat von Nutzen, denn sie ermoglicht Finanzexperten eine Steigerung der Rendite bei einer Verringerung des Risikos.

"Convertible Arbitrage" erlautert diese einzigartige Investmentstrategie fundiert und detailliert.

Mit einer Fulle von Experten-Informationen.

Autor Nick Calamos ist ein anerkannter Fachmann auf diesem Gebiet. Er ist regelmaßig auf CNBC zu sehen und wird haufig von Fachzeitschriften interviewt.

New feature

"Finally, we have a comprehensive, practical, and lucid book on convertible arbitrage from one of the most seasoned investors in this growing asset class."
?Venu Krishna, CFA
Head of U.S. Convertible Research, Lehman Brothers

"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?"
?William Harding, Analyst, Morningstar Investment Services

"Convertible Arbitrage is an indispensable resource, and is required reading for all fund of funds analysts and portfolio managers that cover this strategy."
?Joseph G. Nicholas, Chairman and CEO
HFR Asset Management, LLC

In 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.

This 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.

Written by leading investment authority Nick P. Calamos, this comprehensive, just-in-time book covers:

• What the convertible arbitrage strategy is and what distinguishes it from other hedging techniques
• How to tap into successful convertible valuation models
• The full range of hedges, from tilted and leveraged hedges to swaps and option hedging
• And more!

Nick P. Calamos is the first recipient of the Excellence in Fund Management Award for Calamos Growth and Income Fund, bestowed by S&P and BusinessWeek.

정보제공 :

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 (Γ).
 
Vega (v).
 
Theta (.).
 
Rho (ρ).
 
More on Volatility.
 
Chi (χ).
 
Omicron (ο).
 
Upsilon ( υ).
 
Phi ( φ).
 
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 Cheap Options from Investment-Grade Convertibles.
 
The Mechanics of Convertible Asset Swapping.
 
Swap Hedge Setup.
 
Convertible Bond Credit Default Swap—Transfer Credit Risk in a Hedge.
 
Appendix 8.1.
 
Chapter 9. Non-traditional Hedges.
 
The Reverse Hedge.
 
Call Option Hedge: Monetization of a Cheap Embedded Call Option.
 
Stock Hedge to Capture Cheap or Free Put Options.
 
Convergence Hedges.
 
Merger and Acquisition Risk Arbitrage Trades.
 
Reset Convertibles (or Death Spiral Convertibles).
 
Capital Structure Hedge.
 
Distressed Convertible Hedge or Negative Gamma Hedge Opportunities.
 
Basket Hedging Equity Delta.
 
Synthetic Worksheet Hedge.
 
Dividend Reduction Convertible Hedge.
 
Trading Desk Value Added.
 
Trade Execution.
 
Appendix 9.1.
 
Appendix 9.2.
 
Take-Over Risks—An Example.
 
Chapter 10. Portfolio Risk Management.
 
Balance Sheet Leverage.
 
Scenario Analysis.
 
Hedging Systematic Risks with Index Options.
 
Hedging Interest Rate Risk—Yield Curve Shifts.
 
Hedging Volatility with Volatility Swaps.
 
Hedging Omicron with Volatility Swaps.
 
Hedging Omicron with Credit Default Swap Basket or Short Closed End Funds.
 
Rough Spots for Convertible Arbitrage.
 
Managing the Convertible Arbitrage Manager.
 
Glossary.
 
Index.

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