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Convertible Arbitrage by Nick P. Calamos
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Convertible Arbitrage [Hardback]

Insights and Techniques for Successful Hedging

by Nick P. Calamos
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Description of Convertible Arbitrage

Master convertible arbitrage and put profits within reach

"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

In good markets and bad, convertible arbitrage can give investors the best of both worlds: the safety of bonds and all the possibilities of stock–like performance.

This is partly why convertible arbitrage–following the larger trend of hedge funds–has moved to center stage in the last decade. But profiting from this increasingly popular investment strategy takes much more than knowing a few ground rules. It takes Convertible Arbitrage: Insights and Techniques for Successful Hedging.

Written by leading investment authority Nick P. Calamos, this comprehensive, just–in–time book covers:

  • What the convertible arbitrage strategy is and what distinguishes it from other hedging techniques
  • How to tap into successful convertible valuation models
  • The full range of hedges, from tilted and leveraged hedges to swaps and option hedging
  • And more!

Nick P. Calamos is the first recipient of the Excellence in Fund Management Award for Calamos Growth and Income Fund, bestowed by S&P and BusinessWeek.

Title Information

ISBN:
9780471423614
Pages:
304 pages
Format:
Hardback
Product Code:
16168
Publisher:
John Wiley & Sons Ltd
Published:
08/08/2003
Edition:
illustrated edition

Press and Industry Reviews

"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

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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.

Contents of Convertible Arbitrage

1. Convertible Arbitrage, an Overview

2. Valuation

3. The Greeks

4. Credit and Equity Considerations

5. Convertible Arbitrage Techniques

6. Gamma Hedging

7. Convertible Option Hedge Techniques

8. Convertible Asset Swaps and Credit Default Swaps

9. Non-traditional Hedges

10. Portfolio Risk Management

Glossary


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