Convertible arbitrage in theory and practice
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Date: 05-10-2007
Start Time:
5:30pm
End Time: 7:00pm
Speaker: Paul BESSON
Location: Dahesh Auditorium, 580 Madison Avenue (E56th & Madison)
Abstract:
Today Convertible bond/ Vol arbitrage is largely dominated by discretionary investment processes. ADI has been running a CB/ vol-arb desk since 1997, 1Bn USD on that strategy on Euro, US and Asia. ADI's discretionary investment process combines fundamental and technical research. We will highlight the key issues, results and present limits of quantitative approaches on CB and OTC vol products. We will discuss pricing, searching for investment opportunities and position management. On each of those topics the main objective will be to explain how quants answer real questions raised by the market in the conditions they face. We will also compare past situation with the current one and analyze the remaining challenges to come to better understand the ever changing market reality.
About the speaker:
Paul Besson is Head of Quantitative Research for ADI, an independent Alternative Asset Manager, since 2004, covering all arbitrage processes. From 1997 to 2004 , Paul was CB and Vol
fund manager at Commerzbank-Paris. He Graduated from ENSAE-Paris (Ecole
Nationale de la Statisique et de l'Administration Economique) and University
PARIS I Sorbonne (MS in Economic modelling). Paul lectured on Financial
Markets at IEP (Sciences-Po Paris) from 1997 to 2000.