Fixed–Income Arbitrage: Analytical Techniques and Strategies

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.

Spis treści:
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.
Index.