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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