Convertible Bonds: Issuing, Pricing and Investing

London Financial Studies
4.4
5 reviews
  • If you are considering adding convertibles bonds or Cocos into your investment portfolios, this course is really useful.
    ← | →
  • Great training that upgraded my capital markets information.
    ← | →
  • 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.
    ← | →

Short course

In London

£ 3,975 + VAT

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Description

  • Type

    Short course

  • Location

    London

  • Duration

    3 Days

  • Start date

    Different dates available

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.

Facilities

Location

Start date

London
See map
34 Curlew Street, se12nd

Start date

Different dates availableEnrolment now open

About this course

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

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

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Reviews

4.4
fantastic
  • If you are considering adding convertibles bonds or Cocos into your investment portfolios, this course is really useful.
    ← | →
  • Great training that upgraded my capital markets information.
    ← | →
  • 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.
    ← | →
100%
4.4
fantastic

Course rating

Recommended

Centre rating

Portfolio Manager

4.0
21/10/2016
What I would highlight: If you are considering adding convertibles bonds or Cocos into your investment portfolios, this course is really useful.
What could be improved: Everything OK.
Would you recommend this course?: Yes

Anonymous

3.5
14/10/2016
What I would highlight: Great training that upgraded my capital markets information.
What could be improved: Nothing.
Would you recommend this course?: Yes

Anonymous

5.0
11/10/2016
What I would highlight: 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.
What could be improved: N/A.
Would you recommend this course?: Yes

Anonymous

5.0
11/09/2016
What I would highlight: Good enormous picture training that upgraded my capital markets information.
What could be improved: Everything was positive.
Would you recommend this course?: Yes

Anonymous

4.5
05/09/2016
What I would highlight: Fantastic presentation.
What could be improved: Nothing.
Would you recommend this course?: Yes
*All reviews collected by Emagister & iAgora have been verified

This centre's achievements

2016

All courses are up to date

The average rating is higher than 3.7

More than 50 reviews in the last 12 months

This centre has featured on Emagister for 16 years

Subjects

  • IT risk
  • Risk
  • Credit
  • Trading
  • Trading Strategies
  • Excel
  • MS Excel
  • Using excel
  • Convertible Bonds
  • Investing
  • Cocos Bond
  • ASCOTS
  • Risk Management
  • Gamma trading
  • Delta Hedging
  • Excel Spreadsheets
  • Sensitivity Analysis
  • Dividend Protection
  • Multinomial

Teachers and trainers (2)

Jan De Spiegeleer

Jan De Spiegeleer

Teacher

Dr Jan De Spiegeleer is a co-Founder of RiskConcile a risk management advisory firm based in Lausanne. From 2007 till 2015 he was the head of risk management at Jabre Capital Partners, a Geneva-based hedge fund. He gained extensive knowledge of derivatives pricing, hedging and trading while working for KBC Financial Products in London, where he was managing director of the equity derivatives desk. Dr De Spiegeleer holds a Masters Degree in Civil Engineering (Royal Military Academy, Brussels - 1988), an MBA and a PhD in mathematics (KU Leuven - 1994 and 2013).

Wim Schoutens

Wim Schoutens

Teacher

Prof Wim Schoutens is Research Professor in financial engineering in the Department of Mathematics at the Catholic University of Leuven, Belgium. Prof Schoutens is also the author of "Lévy Processes in Finance: Pricing Financial Derivatives" and co-editor of "Exotic Option Pricing and Advanced Lévy Models" both published by Wiley Finance. His research interests cover all areas of financial mathematics, with recent publications on jump driven credit models and equity models, model risks, hedging of exotics and multivariate financial modelling.

Course programme

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

See related categories

Convertible Bonds: Issuing, Pricing and Investing

£ 3,975 + VAT

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