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Convertible Arbitrage: Insights and Techniques for Successful Hedging

Nick P. Calamos

Nick Calamos gives a well rounded yet sufficiently detailed overview of the practical and theoretical aspects of convertible arbitrage. This book assumes no previous knowledge of the field, however, it is best suited to the reader with some basic knowledge of options and the 'greeks'. Since it is one of a very few books devoted to this topic it is difficult to make direct comparisons with similar literature. However, the book is generally 'good' and interesting.

The book begins with a historic overview of convertible arbitrage trading and how it compares with other arbitrage strategies (e.g. M&A, statistical, and relative value arbitrage). In subsequent chapters various convertible arbitrage trading techniques are introduced with case scenarios.

My main criticisms of the book are: 1) The current edition has a few typos here and there that need to be polished out in subsequent editions; and 2) Chapter 4 on `Credit and Equity Considerations' has extracts from Warren Buffet which at times seem to go off at tangents to the main objectives of the book. Readers coming from a credit/equity analyst background may find this chapter of particular interest.

Reviewed by Alessio Farhadi. Click here to buy this book.

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