Tuesday, January 23, 2007

Pricing Convertible Bonds


Kevin Connolly, Researcher of complex volatility trading for Refco Overseas Ltd. and Lecturer at City University Business School and London Guildhall University, has put together an excellent treatment of pricing convertible bonds, delving into topics such as: Returns distributions and associated descriptive statistics, Modeling the share price process, The basic convertible bond model, Introducing the complications, Convertible bond sensitivities, Using equity warrant models to price CBs, Refix clauses

http://rapidshare.com/files/12985727/Convertible_Bonds.pdf

6 comments:

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