Monte Carlo Simulation & Binomial Trees to Price Structured Notes

Presented by Rahul Bhattacharya
2004

Rahul Bhattacharya will demystify the workings of convertible bonds and give you the toolkit to analyze a convertible bond in simple steps. This course will outline the basic mechanics of a convertible bond and its synthesis from equity; the need to issue convertible bonds from an issuer's point of view and the need to buy a convertible bond from an investor's point of view. The course will try to bring out the nuances of convertible bonds and their impact on equity markets, the different types of such bonds and the strategies that should be employed to trade them and invest in them. The course will cover the following points:

• The structure of a convertible bond and its synthesis from equity;
• The sensitivities of a convertible bonds - delta, gamma, etc.
• The pricing of a convertible bond;
• The impact of convertible bond on the equity market in general and the underlying equity in particular;
• The need to issue convertible bond by issuers;
• How to trade and invest in convertible bonds.