Fixed-Income Arbitrage: Analytical Techniques and Strategies

ISBN-13: 9780471555520 / Angielski / Twarda / 1993 / 272 str.

M. Anthony Wong; Anthony M. Wong; Robert High

Opis

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.

Spis treści

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.