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Fixed-Income Arbitrage. Analytical Techniques and Strategies. Edition No. 1. Wiley Finance

  • ID: 2214328
  • Book
  • September 1993
  • 272 Pages
  • John Wiley and Sons Ltd
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.
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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.

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M. Anthony Wong
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