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Title: Pricing Convertible Bonds by Kevin B. Connolly ISBN: 0-471-97872-8 Publisher: John Wiley & Sons Pub. Date: 01 October, 1998 Format: Hardcover Volumes: 1 List Price(USD): $115.00 |
Average Customer Rating: 4.1 (10 reviews)
Rating: 5
Summary: The best book on the converible bond market to date
Comment: At last a book that addresses the more complex aspects of convertible bonds!
Pricing convertible bonds by Connolly is an excellent book both for the novice and the advanced practitioner.
Although this work starts by assuming that the reader knows very little, the experienced player will also benefit from the refreshingly simple approach to what are very complex instruments.
By the use of very simple stepwise spreadsheet type modelling, the user discovers for himself all unusual characteristics of convertible bond price behaviour.
This is certainly the first work ever to address the issue of share dilution, and never before has the modeling of refix convertibles been addressed in any text of which I am aware.
Although Connolly skirts the issue of random interest rates, the book is by far the best work produced on the convertible bond market to date.
Rating: 2
Summary: It's a start...
Comment: If you are a beginner to the area then this book could be of some use to you. However, for the more experienced practitioner it is limited in its usefulness. The phrase "beyond the scope of this book" becomes too repetitive whenever the interesting and challenging topics are mentioned. And it is precisely these modeling areas that differentiate the convertible bond from the more trivial option pricing problems that are covered well in other books. This lack of detail in the meatier areas is the biggest disappointment of the book. Generally it is well written and presents the issues clearly - just not enough of the issues that really matter.
Rating: 2
Summary: The best of a very bad bunch
Comment: It's amazing that nobody has written a decent book on convertible bonds. This is the best in a very weak selection.
The book essentially starts at Chapter 6. If he wanted to write a book on modelling in excel he should have thougt about doing it before Jackson and Staunton (Modelling in Excel and vba). However, there isn't any vba here. How another reviewer can say that the pace accelerates enough to keep the attention of the expert is crazy, Chapters 1-5 are very irritating; as I say, they might be fine in another book.
The author's avoidance of vba is a drawback. Why not? It is a logical thing to do.
In the last couple of chapters, the author stops doing excel and just shows the graphs. He even freely refers to a embeded tree spreadsheet and then nonchalently points out that it isn't on the disk provided. Why not?
The real reason is that the binomial method becomes completely unworkable as soon as one introduces complications. One needs to use finite difference methods. FDMs are not even mentioned in this book. The author places his presentation as the state of the art, it isn't. I learned more in 4 pages of one of Wilmott's books (Mr. Numerical DE Solver) [Paul WIlmott on Quantitative Finance, section on convertible bonds] than I did from this book.
If you are interested in building models of convertibles, that can take into account any but the most vanilla features, this is not the place. For a conceptual non-quantitative overview, fine.
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Title: Convertible Arbitrage: Insights and Techniques for Successful Hedging by Nick P. Calamos ISBN: 0471423610 Publisher: John Wiley & Sons Pub. Date: 13 June, 2003 List Price(USD): $59.95 |
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Title: Global Convertible Investing: The Gabelli Way by Hart Woodson, III, A. Hartswell Woodson ISBN: 0471209821 Publisher: John Wiley & Sons Pub. Date: 07 December, 2001 List Price(USD): $29.95 |
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Title: Advanced modelling in finance using Excel and VBA by Mary Jackson, Mike Staunton ISBN: 0471499226 Publisher: John Wiley & Sons Pub. Date: 30 May, 2001 List Price(USD): $75.00 |
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Title: Fixed Income Securities: Tools for Today's Markets, Second Edition by Bruce Tuckman ISBN: 0471063177 Publisher: John Wiley & Sons Pub. Date: 16 August, 2002 List Price(USD): $69.95 |
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Title: Credit Derivatives & Synthetic Structures: A Guide to Instruments and Applications, 2nd Edition by Janet M. Tavakoli ISBN: 047141266X Publisher: John Wiley & Sons Pub. Date: 29 June, 2001 List Price(USD): $75.00 |
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