: Convertible Arbitrage: Insights and Techniques for Successful Hedging (Wiley Finance): Nick P. Calamos. Keywords: convertible arbitrage, short sales, underpricing, convertible bonds, abnormal returns . some other techniques (for more details see Calamos, ) . Minimize risk and maximize profits with convertible arbitrage NICK P. CALAMOS is the Head of Investments and Chief Investment Officer overseeing research.

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You are currently using the site but have requested a page in the site. Would you like to change to the site? Request permission to reuse content from this site. Insights and Techniques for Successful Hedging. Read an Excerpt Excerpt 1: Added to Your Shopping Cart. Description 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 congertible increase their returns while decreasing their risks.

Convertible Arbitrage offers a thorough explanation of this unique arbitrrage strategy.


Convertible Arbitrage : Insights and Techniques for Successful Hedging

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.

Since his experience has centered on convertible securities investment. With the firm sinceMr. Calamos has been instrumental in developing the Calamos Convertible Research System CCRSa sophisticated, proprietary research system that monitors and scans the entire market for the best available investment opportunities.

Calamos is a member of the Investment Analysts Society of Chicago. Permissions Request permission to reuse content from this site.

Convertible Arbitrage: Insights and Techniques for Successful Hedging

Table of contents Reviews Chapter 1. Convertible Arbitrage—A Brief History. Why Hedge with Convertibles? Basics arbitraeg Convertible Securities. Basics of Convertible Arbitrage. Credit and Equity Considerations.


Credit Analysis and Equity Market Feedback.

Asset Value Credit Evaluation. Cash Flow and Valuing a Business. 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. Capturing the Gamma in a Convertible Hedge.

Bearish Tilt Gamma Convertible Hedge. Bearish Gamma Hedge on Leverage.

Convertible Option Hedge Techniques. The Mechanics of Convertible Asset Swapping.

Monetization of a Cheap Embedded Call Option. Merger and Acquisition Risk Arbitrage Trades. Reset Convertibles or Death Spiral Convertibles. Basket Hedging Equity Delta. Dividend Reduction Convertible Hedge.

Convertible Arbitrage : Nick P. Calamos :

Trading Desk Value Added. Hedging Systematic Risks with Index Options. Hedging Volatility with Volatility Swaps. Hedging Omicron with Volatility Swaps. Rough Spots for Convertible Arbitrage. Managing the Convertible Arbitrage Manager.

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