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שנה"ל תש"ף

  מאג"ח להמרה ל-Convertible Arbitrage
  From Convertible Bonds to Convertibel Arbitrage  
1231-3376
חצי סמסטריאלי-מחצית שניה
ניהול | תכנית במנהל עסקים
קבוצה 01
חצי סמסטריאלי-מחצית שניה
סמ'  ב'1845-2130408 רקנאטישיעור ד"ר נוימן יגאל
סילבוס מקוצר

 היקף הקורס:  1 י"ס

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 employ their unique features, At the end of the course, you should have a working 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 of more than a century; they differ from traditional corporate bonds in that their buyer has the option to convert the convertible bond into shares of the issuing company. Their unique features make them ripe for use by hdge funds 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.

 

In this course we will discuss the general framework for convertibles bonds, their pricing, and the trading in them. We will introduce arbitrage, present a pricing model for convertible bonds, and experiment with different techniques to create a hedged investment in convertible bonds. We will also develop a statistical-arbitrage based method for trading in an index of convertible bonds.

 

Here are the topics that we will cover in this course: An introduction to convertible bonds; Simple valuation models: the bond/option model; Simple investments strategies involving convertible bonds; Sophisticated valuation models: binomial models; Convertible arbitrage; Statistical arbitrage using convertible bonds.

 

 

סילבוס מפורט

ניהול | תכנית במנהל עסקים
1231-3376-01 מאג"ח להמרה ל-Convertible Arbitrage
From Convertible Bonds to Convertibel Arbitrage
שנה"ל תש"ף | סמ'  ב' | ד"ר נוימן יגאל

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