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- OUT OF PRINT -
This book is no longer available from Global Investor.
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- Product code: 3714
- ISBN: 0786308184,
ISBN13: 9780786308187,
305 pages, Disk + Hb
Published by Irwin, 1st edition, 1997
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Description of Option Embedded Bonds |
In Option Embedded Bonds, high-level investments author and lecturer, Israel Nelken has assembled chapters from the leading experts in today's bond market to explore this complex and ever-changing investment product. Dr. Nelken's book offers a well-rounded and focused approach to the subject: well-rounded in the fact that it provides a detailed overview of the general bond market, and focused because it zeroes in on those option-embedded bonds topics important to professionals. Sections in this book include:
- ĘTerm Structure Models and Forecasting
Numerical and implementation issues of yield curve models and forecasting interest rates
- Measures of Risk
How to precisely measure the risk of a bond
- The Instruments
Evaluation of option-embedded bonds, also convertible bonds, mortgage-backed securities, swaps and others
Because we are now in the computer-dominated age of financial analysis, also included in the book is a sample disk for the new computer program ConvB, specially designed to price and hedge portfolios of convertible bonds and/or preferred shares.
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Contents of Option Embedded Bonds |
Part One
Term Structure Models and Forecasting
1. Yield Curve Models: A Mathematical Review
2. Computational Aspects of Term Structure Models and Pricing Interest Rate Derivatives
3. A Fundamental Approach for Forecasting Interest Rates with an Application to the Deutsche Mark Yield Curve
Part Two
Measures of Risk
4. The Graver Risk Measure
5. Market versus Accounting-Based Measures of Default Risk
Part Three
The Instruments
6. Calculating Average Life for Bonds with Embedded Options
7. Black-Scholes Approximation of Complex Option Values: The Cases of European Compound Call Options and Equity Warrants
8. Convertible Bonds and Preferred Shares
9. A New Approach to Evaluating Mortgage-Backed Securities
10. Index, Asset, and Mortgage Swaps
11. Pricing Derivatives on Risky Bonds as Applied to Emerging Market
12. Interest Rates and Life Insurance
13. Options on Volatility
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