Convertible Bonds: Pricing and Book Management

LEVEL: ADVANCED LEVEL

▪	Master the principles of convertible bond pricing
▪	Build a convertible bond pricing spreadsheet in EXCEL™
▪	Analyse the components of a convertible bond price
▪	Gain a comprehensive understanding of the European convertible bond market

▪	Modelling the security price - Advanced
▪	European option pricing - Intermediate
▪	American option pricing - Intermediate
▪	Fixed rate bond pricing - Intermediate
▪	Pricing and sensitivity of convertible bonds - Advanced
▪	Convertible bonds in asset management - Intermediate

▪	Market presentation, use of pricing spreadsheets and application to current market cases
▪	In-depth analysis of the characteristics and uses of the main convertible bond categories
▪	Step by step approach

▪	Fund managers
▪	Junior traders
▪	Derivative sales
▪	Origination, primary market dealers
▪	Financial divisions
▪	Risk management division
▪	Support staff: IT, middle office,
▪	internal and external audit, senior back office
▪	Financial engineers
▪	Institutional investors

Fundamentals

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Overview of the convertible bond market

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Description of a convertible bond and of various markets

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Objectives of various market participants: issuers, investors, arbitragers

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Convertible bond characteristics

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Pricing components

Revision of discounting and stochastics

Calculation of equity options: Black & Scholes / Binomial trees / Monte Carlo

Pricing a Convertible Bond

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Components of a convertible bond's price

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Various sensitivities

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Criteria of assessment

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Pricing methods

Analytical

Binomial tree

Monte-Carlo

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Impact on credit margin

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Practical workshop
. Construction of a pricing spreadsheet in EXCEL™
. Calculate a convertible bond price in EXCEL™
. Invent a convertible and price it!

Convertibles and Portfolio Management

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Convertible bonds in asset allocation

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Managing convertible bonds

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Increasing return using convertibles