7

148-171

24

 

John Wiley & Sons, Inc. (Visit publisher website)

2003

English

 

 

 

Non-Technical

 

 

Convertible arbitrage hedge fund, convertible option hedge techniques, covered convertible call option hedge, long convertible stock hedge with call write overlay, synthetic bond, convertible stock hedge, convertible hedge call write with protective long put, mandatory convertible preferred stock hedge with call write overlay

 

7.1 Covered or partially covered convertible cal option hedge
7.1.1 Sample worksheet and profile - covered call as a stock hedge alternative with I-T-M call write
7.2 Long convertible stock hedge with call write overlay
7.3 Synthetic bond - long busted convertible with call write and long out-of-the-money call for protection
7.3.1 Worksheet example, Table 7.3 and Figure 7.5 - busted hedge - covered call with long call for protection
7.4 Convertible stock hedge - put purchase provides additional downside protection
7.4.1 Worksheet example, Table 7.4 and Figure 7.7 - long put to augment stock hedge risk-reward profile
7.5 Convertible hedge call write with protective long put
7.5.1 Worksheet example, Table 7.5 and Figuire 7.8 - convertible hedge call write with protective long put
7.6 Mandatory convertible preferred - stock hedge with call write overlay
7.6.1 Worksheet example, Table 7.6 and Figure 7.9 - mandatory stock hedge with call write overlay

 

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Convertible arbitrage involves purchasing a portfolio of convertible securities and hedging a portion of the equity risk by selling short the underlying common stock. This increasingly popular strategy, 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, 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.