Convertible Arbitrage -‫ – מאג ח להמרה ל‬1231.3376.01 (‫ לפחות‬78 ‫ יסודות המימון בציון‬:‫)דרישות קדם‬ ‫ תשע ה‬- '‫סמסטר א‬ ‫ד ר יגאל נוימן‬ :‫המרצה‬ 08:15-12:30 ,'‫ יום ו‬:‫שעות הלימוד‬ :‫דואר אלקטרוני‬ ,9.1.15 ,2.1.15 ,26.12.14 :‫הקורס יתקיים בתאריכים‬ 16.1.15 COURSE DESCRIPTION This course is intended as a practical and empirical example of how the finance profession progressed from the innovation of convertible bonds to advanced arbitrage strategies that emplo
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  1231.3376.01 -  רמ ח גאמ  – Convertible Arbitrage  !# $%&' ר (  יצב   מימה   ת ד סי 78  חפל   )   *&$ - + א   ר , מ   רמ :  אגימיונ תועשומיל : ,' ו   םוי 08:15-12:30 ראודנורטקלא : ynewman@stanfordalumn!or סרוק ייקתי  : םיכיראתב  26.12.14 , 2.1.15 , 9.1.15, 16.1.15 COURSE DESCRIPTION This course is intended as a practical and empirical example of how the finance profession progressed from the innovation of convertible bonds to advanced arbitragestrategies that employ their unique features. At the end of the course, you should have aworking knowledge of professional investing in convertible bonds and of various absolute-return strategies related to convertible bonds, such as convertible arbitrage.Convertible bonds have been around for more than a century they differ fromtraditional corporate bonds in that their buyer has the option to convert the convertible bondinto shares of the issuing company. Their unique features make them ripe for use by hedgefunds in absolute return strategies, such as the strategy known as !convertible arbitrage. Convertible arbitrage is a market-neutral investment strategy that involves the simultaneous purchase of convertible securities and the short sale of the same issuer#s common stock . $n this course we will discuss the general framework for convertible bonds, their  pricing, and the trading in them. %e will introduce arbitrage, present a pricing model for convertible bonds, and experiment with different techniques to create a hedged investment inconvertible bonds. %e will also develop a statistical-arbitrage based method for trading in anindex of convertible bonds.&ere are the topics that we will cover in this course'   -2- (.An introduction to convertible bonds).*imple valuation models' the bond+option model.*ophisticated valuation models' binomial models.$nvestments strategies involving convertible bonds.Convertible arbitrage LOGISTICS /eetings' 0our meetings on 0ridays between 1'(am 2 ()'3am, dates T4A$nstructor  ã 5r. 6igal 7ewman ã Contact information' 8mail' ã /y background combines academic finance and work in the financial serviceindustry. 5uring my career $ managed 2 among other things - an institutional-si:ed portfolio in a convertible arbitrage strategy for a hedge fund in the ;*.Teaching Assistant ã T4A ã Contact information' 8mail' $nstruction language' &ebrew <but slides and reading material in 8nglish=>rerequisites' ã This is an advanced course in finance and as such $ assume that students have alreadytaken an introductory finance course and are familiar with stocks, bonds, and options.An options course is not a prerequisite but will make the course easier. ã $n the past, students without sufficient background found the material difficult tounderstand. ã The course is practical, and designed to provide understanding <but not advice?= of strategies used by real investment professionals, and thus students who are involvedin or closely follow financial markets will find the course easier than others.   -3- Attendance' Attendance in all class sessions is mandatory. @rading' The course will be graded on a numeric scale. The grade will consist of'(.&ome exam' 13 of the grade.).Class >articipation' )3 of the grade. RECOMMENDED READING MATERIAL The books in this list are not cheap but if your goal is to trade in convertible bonds or in related strategies <for yourself or others= $ believe that you will find that the investmentwill pay off handsomely over the long run.(.The best and most comprehensive book in the topic is by 5e *piegeleer and *choutens.$t contains a wealth of information but is written less as a textbook and more as ahandbook . ã 5e *piegeleer, Ban and %im *choutens, !The &andbook of Convertible 4onds, <%iley 0inance= ).This book by 7ick Calamos <who manages one of the biggest mutual funds in this assetclass= is probably more accessible to the novice in the field. ã Calamos, 7ick >., !Convertible Arbitrage' $nsights and Techniques for *uccessful&edging, <%iley 0inance=


Jul 23, 2017
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