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Description of Trading and Investing in Bond Options

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 A-to-Z look at US government bond options markets, including how options pricing and computer technologies are used in dealing, trading and investing in these options. The text includes topics such as market making, relative-value trading and the use of state-of-the-art trading systems; features numerous examples to illustrate the various strategies discussed; compares the differences between the Japanese and US bond markets and explains how these differences may impact options trading on Japanese government bonds.

Title Information

ISBN:

9780471525608

Pages:

262 pages

Format:

Hardback

Product Code:

0999

Publisher:

John Wiley & Sons Ltd

Published:

06/12/1990

Press and Industry Reviews

'Tony Wong's book on fixed-income options is a major contribution to the understanding of a very difficult yet very important subject in fixed-income investment. It's a 'must read' for anyone who wants to use fixed-income derivative instruments, offering an insider's view on how the bond options market really works.'
Eric M.P. Tang, President, Portfolio Management Technology

'To my knowledge this is the only book that contains a comprehensive and adequate discussion on computerized risk management systems. The book also highlights all the important practical aspects of option pricing and trading. Equity option traders will find this book extremely useful in their practice as well.'
W H Ricky Lee, Vice President, Salomon Brothers

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Contents of Trading and Investing in Bond Options

List of Tables and Figures

1. Introduction to Options

2. The Bond Option Market

3. Pricing Models for Bond Options

4. Advanced Pricing Models for Bond Options

5. Model Selection, Evaluation and Parameter Estimation

6. Dealing in Bond Options

7. A Computerised Options Trading and Risk Management System for Dealers

8. Relative-Value Trading in Bond Options

9. Strategies Driven by Estimated Forthcoming Volatility

10. Strategies Driven by Interest Rate Forecasts

11. Portfolio Strategies Involving Options

Appendix: Derivation of Normal Price Model