Convertible Bonds: Issuing, Pricing and Investing

London Financial Studies
En London (Inglaterra), New York (Estados Unidos)
5 opiniones

4001-5000 €

Información importante

Tipología Short course
Lugar En 2 sedes
Duración 3 Days
Inicio 26/03/2018
otras fechas

This course explains in detail the broad range of convertible securities and associated applications and trading strategies.

Participants will undertake a series of workshops to explain the key ideas including pricing convertible bonds, the incorporation of credit risk, handling corporate events such as ratchets, calculating Greeks and simulating trading strategies. Contingent Convertibles are also covered extensively.

Workshops are built around real world convertible bond examples where participants will work their way through several prospectuses. The course also provides every participant with hands on application of recent models to price convertibles based on Monte Carlo techniques. Exercises and pricing models are implemented using Excel functions and macros and participants will be able to take away all worked examples.

This course is also available remotely via LFS Live.

Información importante
¿Qué objetivos tiene esta formación?

¿Esta formación es para mí?

Credit and equity risk managers
Middle office
Quantitative researchers
Hedge funds
Portfolio managers
Structured products desks
Debt capital markets staff


Requisitos: Numerate background (basic) Basic knowledge of fixed income and equity products Basic knowledge of Microsoft Excel

Instalaciones y fechas

Dónde se imparte y en qué fechas

Inicio Ubicación
26 mar 2018
34 Curlew Street, se12nd, London, Inglaterra
Ver mapa
Fechas a elegir
New York
New York, Estados Unidos
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Inicio 26 mar 2018
34 Curlew Street, se12nd, London, Inglaterra
Ver mapa
Inicio Fechas a elegir
New York
New York, Estados Unidos
Ver mapa


Lo mejor Extremely pragmatic and valuable instruction from a top positioned support stock investments chief covered all the points that are not canvassed in any reading material or paper. I would prefer not to tell any opponent about this course.

A mejorar N/A.

Curso realizado: Octubre 2016 | ¿Recomendarías este centro?
Lo mejor Great training that upgraded my capital markets information.

A mejorar Nothing.

Curso realizado: Octubre 2016 | ¿Recomendarías este centro?
Lo mejor Good enormous picture training that upgraded my capital markets information.

A mejorar Everything was positive.

Curso realizado: Septiembre 2016 | ¿Recomendarías este centro?

¿Qué aprendes en este curso?

Risk Management
IT risk
Trading Strategies
using Excel
MS Excel
Convertible Bonds
Sensitivity Analysis
Delta Hedging
Cocos Bond
Gamma trading
Excel spreadsheets
Dividend Protection


Day One

Convertible Bond Primer
Convertible Bonds
  • Basic introduction to what convertible bond is and its key elements. Nomenclature: Convertible bonds come with their own language and conventions which is different from the traditional derivatives language: conversion premium, parity, conversion price, etc.
Contingent Convertibles (CoCos)
  • A short introduction into Contingent Capital and CoCo bonds
  • Reverse Convertibles: characteristics and application
  • Credit Default Swaps
Workshop: Reverse Convertible (RC) modelling and convertible bond (CB) anatomy. Structuring CBs and RCs using Excel spreadsheets

Basic Valuation Models – a hands on introduction to CB pricing
  • Lattice Models (binomial, trinomial and multinomial)
  • Black and Scholes
  • Implied Volatility
  • Heston
Workshop: Monte Carlo pricing (Heston – Black and Scholes): a fast route to understand and price a new issue of complex CB setups

Day Two

Cocos Bond Modelling (I)
  • Contingent Convertibles recap
  • Barrier Models
  • Structural Models
  • Credit Triangle
This section is dedicated to work out the pricing and risk of contingent convertibles using different techniques

Workshop: CoCo structuring, design and pricing. Handling the dynamics of Cocos and the death spiral effect embedded within this asset class

Convertible Bonds: anatomy, market and modelling (II)
  • Instrument features (RESETS) Understanding the reset feature and negative convexity
  • Convertible bond market Overview of the different parties involved in the issuing and trading of convertible bonds
  • Pricing in practice
Workshop: Pricing convertible bonds valuation and initial hedge using real world examples

Day Three

Convertible Bonds: advanced features
  • Ratchets
  • Evaluating ratchets in a takeover situation
  • Dividend Protection
  • Convertible Bond Options (ASCOTS). Hedging credit risk with ASCOTS
Workshop: American Monte Carlo in a real world example

Risk management and hedging of a convertible bond portfolio
  • Delta hedging. Changes in the risk profile of the bond
  • Gamma trading. Impact of frequent rebalancing of the hedge in low and high volatility markets
  • Credit and Volatility hedges
  • Sensitivity Analysis. Different risk measures that can be applied to convertibles
Workshop: Discussion and round table
Este curso está en español. Traducir al inglés