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Convertible Arbitrage
Insights and Techniques for Successful Hedging
Nick P. Calamos (Author)
9780471423614, Wiley
Hardback, published 8 August 2003
304 pages
23.2 x 16.1 x 2.7 cm, 0.493 kg
"...filled with in-depth insights and a wide range of convertible topics, provides a thorough explanation..." (Financial World, January 2004)
"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 Marktvolatilität von Nutzen, denn sie ermöglicht Finanzexperten eine Steigerung der Rendite bei einer Verringerung des Risikos.
"Convertible Arbitrage" erläutert diese einzigartige Investmentstrategie fundiert und detailliert.
Mit einer Fülle von Experten-Informationen.
Autor Nick Calamos ist ein anerkannter Fachmann auf diesem Gebiet. Er ist regelmäßig auf CNBC zu sehen und wird häufig von Fachzeitschriften interviewt.
Chapter 1 Convertible Arbitrage: An Overview 1 Convertible Arbitrage: A Brief History 1 Why Hedge with Convertibles? 6 Convertible Arbitrage Performance 7 What About Risks? 12 Basics of Convertible Securities 15 Risk-Reward Analysis 18 Methods of Valuation 18 Convertible Profile Graph 22 Basics of Convertible Arbitrage 23 Multiple Convertible Structures 26 Appendix 1.1 32 Chapter 2 Valuation 34 Convertible Valuation Models 34 Binomial Option Model 34 Chapter 3 The Greeks 48 Measures of Risk 48 Delta (∆) 48 Gamma (Γ) 51 Vega (v) 55 Theta (ϑ) 57 Rho (ρ) 59 More on Volatility 61 Chi (χ) 64 Omicron (ο) 65 Upsilon (u) 67 Phi (f) 69 Mandatory Convertible Greeks 70 Chapter 4 Credit and Equity Considerations 74 Credit Evaluation 74 Credit Analysis and Equity Market Feedback 76 Asset Value Credit Evaluation 79 Cash Flow and Valuing a Business 85 Business Valuation Model 85 I. Cash Inflows: Capital Employed 87 II. Cash Outflows: Economic Profit 94 III. Cash-Inflow Model 100 IV. Intrinsic Business Value 106 Chapter 5 Convertible Arbitrage Techniques—Delta Hedging 110 Delta Neutral Hedge (Long Volatility) 112 Delta Estimates versus Theoretical Deltas 117 Dynamic Rebalancing of the Delta Neutral Hedge 117 Delta Neutral Hedge on Leverage 120 Delta Hedge—Currency Hedge Overlay 122 Appendix 5.1 128 Appendix 5.2 131 Chapter 6 Gamma Capture Hedging 134 Capturing the Gamma in a Convertible Hedge 134 Bearish Tilt Gamma Convertible Hedge 141 Bearish Gamma Hedge on Leverage 143 The Gamma Tilt Hedge’s Role in a Market Neutral Portfolio 145 Chapter 7 Convertible Option Hedge Techniques 148 Covered or Partially Covered Convertible Call Option Hedge 151 Long Convertible Stock Hedge with Call Write Overlay 154 Synthetic Bond—Long Busted Convertible with Call Write and Long Out-of-the-Money Call for Protection 157 Convertible Stock Hedge—Put Purchase Provides Additional Downside Protection 161 Convertible Hedge Call Write with Protective Long Put 165 Mandatory Convertible Preferred—Stock Hedge with Call Write Overlay 169 Chapter 8 Convertible Asset Swaps and Credit Default Swaps 172 Convertible Asset Swaps—Extracting Cheap Options from Investment-Grade Convertibles 172 The Mechanics of Convertible Asset Swapping 173 Swap Hedge Setup 176 Convertible Bond Credit Default Swap—Transfer Credit Risk in a Hedge 179 Appendix 8.1 185 Chapter 9 Non-traditional Hedges 194 The Reverse Hedge 194 Call Option Hedge: Monetization of a Cheap Embedded Call Option 199 Stock Hedge to Capture Cheap or Free Put Options 200 Convergence Hedges 210 Merger and Acquisition Risk Arbitrage Trades 217 Reset Convertibles (or Death Spiral Convertibles) 218 Capital Structure Hedge 218 Distressed Convertible Hedge or Negative Gamma Hedge Opportunities 220 Basket Hedging Equity Delta 231 Synthetic Worksheet Hedge 234 Dividend Reduction Convertible Hedge 236 Trading Desk Value Added 239 Trade Execution 240 Appendix 9.1 242 Appendix 9.2 244 Take-Over Risks—An Example 244 Chapter 10 Portfolio Risk Management 248 Balance Sheet Leverage 250 Scenario Analysis 252 Hedging Systematic Risks with Index Options 255 Hedging Interest Rate Risk—Yield Curve Shifts 257 Hedging Volatility with Volatility Swaps 258 Hedging Omicron with Volatility Swaps 263 Hedging Omicron with Credit Default Swap Basket or Short Closed End Funds 265 Rough Spots for Convertible Arbitrage 266 Managing the Convertible Arbitrage Manager 271 Glossary 273 Index 289
Subject Areas: Finance & accounting [KF]
