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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Fixed-income Arbitrage: Analytical Techniques and Strategies
By M. Anthony Wong, Robert High
Contributor Robert High
Published by John Wiley and Sons, 1993
ISBN 0471555525, 9780471555520
254 pages
Contents
1 | |
The Global FixedIncome Securities Markets | 17 |
AssetBacked Securities and Their Derivatives | 38 |
The Market Participants | 53 |
Analytical Tools for FixedIncome Securities | 57 |
Advanced Models and Algorithms | 97 |
FixedIncome Analytics on the Trading Floor | 151 |
Instruments | 173 |
Yield Spreads in the Intermediate and LongMaturity | 195 |
RelativeVolatility Trading in Bond Options | 211 |
Critical Success Factors of an Arbitrage | 239 |
Index | 247 |