Fixed-Income Arbitrage: Analytical Techniques and Strategies / Edition 1

by M. Anthony Wong

Overview

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.

Product Details

ISBN-13:	9780471555520
Publisher:	Wiley
Publication date:	08/30/1993
Series:	Wiley Finance , #32
Pages:	272
Product dimensions:	6.30(w) x 9.27(h) x 0.84(d)

About the Author

M. Anthony Wong is the author of Fixed-Income Arbitrage: Analytical Techniques and Strategies , published by Wiley.

Table of Contents

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.

Index.