Valuation of Convertible Bonds when Investors Act Strategically by Christian KoziolValuation of Convertible Bonds when Investors Act Strategically by Christian Koziol

Valuation of Convertible Bonds when Investors Act Strategically

byChristian Koziol

Paperback | March 30, 2004

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The large volume of literature on convertible bonds addresses two basic complexes of problems: . Why and under which conditions do firms issue convertible bonds? . What is the fair value of a convertible bond? Christian Koziol's dissertation deals with the second problem. His dissertation differs from the predominant part of the literature in two aspects. First, he explicitly considers the strategic character of the conversion decision, as the timing and the volume of con­ version affect the wealth of the stockholders and the remaining convertible bond holders. Second, he deals with a more general capital structure, where the firm has subordinated debt outstanding in addition to convertible bonds and stocks. Within this setting, he characterizes and analyzes the optimal conversion strategy and the endogenous prices of convertible bonds, stocks, and the additional debt for three cases: all convertible bonds are held by a monopolist, the convertible bond holders act competitively, and the compet­ itive bond holders are constrained to convert their bonds in one block. The third variant is typical for the option-theoretic valuation of convertible bonds that uses the typical high contact condition for American options.
Dr. Christian Koziol ist wissenschaftlicher Assistent bei Prof. Dr. Dr. h.c. Wolfgang Bühler am Lehrstuhl für Finanzierung der Universität Mannheim.
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Title:Valuation of Convertible Bonds when Investors Act StrategicallyFormat:PaperbackDimensions:217 pages, 8.27 × 5.83 × 0.01 inPublished:March 30, 2004Publisher:Deutscher UniversitätsverlagLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:382449132X

ISBN - 13:9783824491322

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Table of Contents

Convertible bonds: markets, motives, and traditional valuationGeneral framework for the analysis of convertible bondsOptimal conversion strategies and valuation of convertible bonds at and before maturityComparison of the results of three conversion variantsOptimal conversion strategies and valuation of convertible bonds in a multiperiod framework