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Chapter 12: Convertible Bonds and Other Hybrids

In this section

  • Conversion Features and Equity Upside
    Delve into the fascinating world of convertible bonds, exploring how embedded equity conversion options can amplify returns and present unique risk considerations for investors.
  • Contingent Convertibles (CoCos)
    A thorough exploration of Contingent Convertibles (CoCos) as Additional Tier 1 capital instruments for banks, focusing on triggers, risk-reward trade-offs, regulatory frameworks, and real-world examples.
  • Arbitrage-Free Valuation of Convertibles
    Explore how to decompose a convertible bond into its bond floor and embedded equity option components, and learn to apply binomial tree, lattice, and Monte Carlo methods for no-arbitrage pricing in various market scenarios.
  • Vignette: Modeling Conversion Scenarios
    Explore a comprehensive, exam-focused scenario for evaluating convertible bonds, including bond floors, conversion triggers, and market conditions.
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Chapter 11: Analyzing Callable and Putable Bonds
Chapter 13: Mortgage-Backed Securities (MBS) Overview