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.
Series: Wiley Finance
Number Of Pages: 272
Published: 26th August 1993
Country of Publication: US
Dimensions (cm): 23.55 x 16.0
Weight (kg): 0.48
Edition Number: 1