.Praise for Hedge Fund of Funds Investing: An Investor’s Guide
by Joseph G. Nicholas
“Hedge funds of funds are at the leading edge of the broad move into hedge investing by the mainstream of private wealth management.
CHAPTER 9 The Time Is Now for Equity Market Neutral. As is the case with convertible arbitrage and fixed-income hedge fund investing, equity market neutral is characterized as a relative value strategy. However, it is not pure arbitrage; this strategy generally trades on the differences in value across a wider range of less closely related securities
A convertible bond is a security that the holder can convert into a specified
number of underlying shares. We enrich the standard model by introducing some
default risk of the issuer. Once default has occured payments stop immediately. In
the context of a reduced form model with infinite time horizon driven by a Brownian
motion, analytical formulae for the no-arbitrage price of this American contingent
claim are obtained and characterized in terms of solutions of free boundary problems.