[求助]Fixed-income Arbitrage (M. Anthony Wong, Robert High)

Fixed-income Arbitrage (M. Anthony Wong, Robert High)
Arbitrage, Robert, Wong, Anthony, High

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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
A Repertoire of Arbitrage Techniques 1
future contract, implied volatilities, statistical arbitrage
The Global FixedIncome Securities Markets 17
futures contract, primary dealers, yield curve
AssetBacked Securities and Their Derivatives 38
mortgage-backed securities, GNMA, coupon bonds
The Market Participants 53
market makers, Treasury Securities, Fabozzi
Analytical Tools for FixedIncome Securities 57
day count convention, interest rate, zero-coupon bond
Advanced Models and Algorithms 97
discount function, mortgage-backed securities, American options
more »
FixedIncome Analytics on the Trading Floor 151
scenario analysis, analytical engine, workstations
Instruments 173
Eurodollar, T-bill, credit spread
Yield Spreads in the Intermediate and LongMaturity 195
GNMA, yield-curve, call option
RelativeVolatility Trading in Bond Options 211
put-call parity, callable bonds, put option
Critical Success Factors of an Arbitrage 239
primary dealers, transaction costs, arbitrage trading
Index 247

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