Convertible bond arbitrage
Grassetti, Federico (A.A. 2009/2010) Convertible bond arbitrage. Tesi di Laurea in M&A and investment banking, LUISS Guido Carli, relatore Marshall Langer, pp. 139. [Master's Degree Thesis]
Full text for this thesis not available from the repository.
Abstract/Index
Convertible’s valuation. The greeks as measures of risk. Convertible arbitrage techniques. Gamma capture hedging. Convertible option hedge techniques. Convertible asset swaps and credit default swaps. Non traditional hedging. Mayor shifts in the convertible bond market during the last decades. The convertible arbitrage performance and main concerns over the latter years.
References
Indicazioni bibliografiche nelle note.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | LUISS Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in General Management, English language (84/S) |
| Chair: | M&A and investment banking |
| Thesis Supervisor: | Langer, Marshall |
| Thesis Co-Supervisor: | Oriani, Raffaele |
| Academic Year: | 2009/2010 |
| Session: | Autumn |
| Deposited by: | Maria Teresa Nisticò |
| Date Deposited: | 31 May 2011 17:30 |
| Last Modified: | 23 Oct 2018 09:48 |
| URI: | https://tesi.luiss.it/id/eprint/4589 |
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