Minimize risk and maximize profits with convertible arbitrage. Convertible arbitrage involves purchasing a portfolio of convertible securities - generally convertible bonds - and hedging a portion of the equity risk by selling short the underlying common stock. This increasingly popular strategy, which is 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 from an expert in the field, 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.
"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
8. Convertible Asset Swaps and Credit Default Swaps
9. Non-traditional Hedges
10. Portfolio Risk Management
Glossary
About Nick P. Calamos
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.
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