Convertible Arbitrage: Insights and Techniques for Successful Hedging

Master convertible arbitrage and put profits within reach
"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 hedgingAnd 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.

Spis treści:
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 Protecti ve 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.

Nota biograficzna:
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.

Okładka tylna:
Master convertible arbitrage and put profits within reach
"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