Book Categories

Description of Fixed–Income Arbitrage

This is an introduction to the profit opportunities to be made the in arbitrage of fixed-income securities. It aims to provide a detailed and practical treatment of relative-value analysis and its applications.

For each arbitrage strategy presented in this book, the underlying thought process, the associated risk/reward analysis, and the relevant money management discipline are illustrated using specific examples, as are treasury bills, bonds and notes, and interest-rate futures and options.

Title Information

ISBN:

9780471555520

Pages:

272 pages

Format:

Hardback

Product Code:

4723

Publisher:

John Wiley & Sons Ltd

Published:

15/09/1993

Edition:

1st Edition

Write a review of this book

Customer Reviews from Amazon

Contents of Fixed–Income Arbitrage

- 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
- References
- Index