Trading and Investing in Bond Options: Risk Management, Arbitrage, and Value Investing

ISBN-13: 9780471525608 / Angielski / Twarda / 1991 / 262 str.

Anthony M. Wong; M. Anthony Wong;Wong

Opis

US government bond options make up the single most important options market for institutional investors. Written by a prominent analyst of options markets, this book gives readers an

Spis treści

The Bond Option Market.

Pricing Models for Bond Options.

Advanced Pricing Models for Bond Options.

Model Selection, Evaluation, and Parameter Estimation.

Dealing in Bond Options.

A Computerized Options Trading and Risk Management System for Dealers.

Relative–Value Trading in Bond Options.

Strategies Driven by Estimated Forthcoming Volatility.

Strategies Driven by Interest Rate Forecasts.

Portfolio Strategies Involving Options.

Appendix.

Index.