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Fixed-Income Arbitrage : Analytical Techniques and Strategies - M. Anthony Wong

Fixed-Income Arbitrage

Analytical Techniques and Strategies

Hardcover Published: 26th August 1993
ISBN: 9780471555520
Number Of Pages: 272

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An exposition to the world of relative-value trading in the fixed-income markets written by a leading-edge thinker and scientific analyst of global financial markets. Using concrete examples, he details profit opportunities--treasury bills, bonds, notes, interest-rate futures and options--explaining how to obtain virtually risk-free rewards if the proper knowledge and skills are applied. Discusses the critical success factors of relative-value trading and highlights the important role of technology, capital requirements and considerations in order to set up a fixed-income arbitrage system.

A Repertoire of Arbitrage Techniques.

The Global Fixed-Income Securities Markets.

Analytical Tools for Fixed-Income Securities.

Advanced Models and Algorithms.

Fixed-Income Analytics on the Trading Floor.

Relative-Value Trading in Short-Maturity Instruments.

Yield Spreads in the Intermediate- and Long-Maturity Sectors.

Relative-Volatility Trading in Bond Options.

Critical Success Factors of an Arbitrage Trading Unit.

Index.

ISBN: 9780471555520
ISBN-10: 0471555525
Series: Wiley Finance
Audience: General
Format: Hardcover
Language: English
Number Of Pages: 272
Published: 26th August 1993
Country of Publication: US
Dimensions (cm): 23.55 x 16.0  x 2.14
Weight (kg): 0.48
Edition Number: 1