Description

Book Synopsis
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.

Table of Contents
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-MaturitySectors.

Relative-Volatility Trading in Bond Options.

Critical Success Factors of an Arbitrage Trading Unit.

Index.

FixedIncome Arbitrage

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    A Hardback by M. Anthony Wong

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      Book details

      Publisher John Wiley & Sons Inc
      Published 15 September 1993
      ISBN-13 9780471555520
      978-0471555520
      ISBN-10 0471555525
      Also in:
      Finance and accounting

      Description

      Book Synopsis
      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.

      Table of Contents
      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-MaturitySectors.

      Relative-Volatility Trading in Bond Options.

      Critical Success Factors of an Arbitrage Trading Unit.

      Index.

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