The Complete Arbitrage Deskbook (Hardcover)

by Stephane Reverre (Author) "Arbitrage is "the simultaneous purchase and sale of the same, or essentially similar, security in two different markets for advantageously different prices..." (more)
Key Phrases: risk arbitrage position, index arbitrage position, fiscal arbitrage, United States, Dow Jones, New York (more...)

Editorial Reviews

Product Description
The Complete Arbitrage Deskbook explains every aspect of the types, instruments, trading practices, and opportunities of modern equity arbitrage. It travels beyond U.S. borders to examine the worldwide opportunities inherent in arbitrage activities and demonstrates how to understand and practice equity arbitrage in the global professional environment.

Written specifically for traders, risk managers, brokers, regulators, and anyone looking for a comprehensive overview of the field of equity arbitrage, this groundbreaking reference provides:  Details of the financial instruments used in equity arbitrage--stocks, futures, money markets, and indices  Explanations of financial valuation and risk analysis, tailored to the characteristics of the underlying position and market environment  Examples of actual arbitrage situations--presenting a real-life snapshot of equity arbitrage in action

The Complete Arbitrage Deskbook is the only book to combine operational details with practical analysis of modern equity arbitrage. Concise in explanation yet comprehensive in scope, it provides an integrated overview of both the practices and the possibilities of the modern equity arbitrage marketplace.

From the Back Cover
How to Understand­­and Take Advantage of­­Arbitrage Opportunities in Modern Financial Markets

The Complete Arbitrage Deskbook explains every aspect of the types, instruments, trading practices, and opportunities of modern equity arbitrage. It travels beyond U.S. borders to examine the worldwide opportunities inherent in arbitrage activities and demonstrates how to understand and practice equity arbitrage in the global professional environment.

Written specifically for traders, risk managers, brokers, regulators, and anyone looking for a comprehensive overview of the field of equity arbitrage, this groundbreaking reference provides:

• Details of the financial instruments used in equity arbitrage­­stocks, futures, money markets, and indices
• Explanations of financial valuation and risk analysis, tailored to the characteristics of the underlying position and market environment
• Examples of actual arbitrage situations­­presenting a real-life snapshot of equity arbitrage in action

The Complete Arbitrage Deskbook is the only book to combine operational details with practical analysis of modern equity arbitrage. Concise in explanation yet comprehensive in scope, it provides an integrated overview of both the practices and the possibilities of the modern equity arbitrage marketplace.

"Through the examination of actual examples and practical situations, the goal is to achieve an integrated view of arbitrage opportunities, precisely as a trader would see them..."
­­From the Introduction

When used with skill and caution, equity arbitrage­­despite relentlessly negative press and widespread popular misconceptions­­is a very low-risk strategy. It only becomes perilous in the hands of the inexperienced or overconfident. The Complete Arbitrage Deskbook provides anyone­­from capital market professionals to private traders to non-professionals with a serious interest in understanding Wall Street and its intricacies­­with a safe, solid foundation in the essential knowledge of equity arbitrage trading.

Before you can successfully employ equity arbitrage in the marketplace, you must first develop a complete understanding of its mathematics and practice. The Complete Arbitrage Deskbook covers every aspect­­mechanics, opportunities, risks, and valuation principles­­to help you move forward with knowledge and confidence. In-depth descriptions and demonstrations of each pertinent financial instrument­­stocks, futures and other derivatives, money market instruments including interest rate swaps, and stock indices­­show you what you need to know to manage these and where to focus your attention in terms of risk management. Detailed sections provide hands-on information about:

• Convergence continuums
• Cross-exchange listing
• Closed-end and convertible funds
• Holding companies
• Oscillators
• Mark-to-market versus theoretical valuation
• Valuation and random variables
• Risk management principles and tools, including value-at-risk
• Index arbitrage and absolute convergence
• Risk arbitrage and explicit convergence
• Pair trading and technical trading

Fallacies about what arbitrage is­­and is not­­are common among financial professionals. Concise yet comprehensive, The Complete Arbitrage Deskbook sidesteps fallacy to present fact. It is the only comprehensive overview of the opportunities and perils in the arbitrage markets­­and today's only complete overview and practical analysis of modern equity arbitrage.

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Product Details

• Hardcover: 508 pages
• Publisher: McGraw-Hill; 1 edition (April 4, 2001)
• Language: English
• ISBN-10: 0071359958
• ISBN-13: 978-0071359955
• Product Dimensions: 9.1 x 6 x 1.4 inches
• Shipping Weight: 1.9 pounds (View shipping rates and policies)
• Average Customer Review: 3.8 out of 5 stars See all reviews (16 customer reviews)
• Amazon.com Sales Rank: #66,103 in Books (See Bestsellers in Books)

Customer Reviews

Most Helpful Customer Reviews

28 of 29 people found the following review helpful:

5.0 out of 5 stars Very comprehensive, but may not suit all time frames, March 7, 2002

By	Rahul Mahajan (London, UK) - See all my reviews

Reverre has written a very comprehensive book, covering all instruments. Quite importantly, he has gone beyond conventional merger arbitrage for the equity markets, and details both fundamentally based equity arbitrage techniques and statistical arbitrage, based on return correlations. The optimal audience is probably financial institutions with a speculative timeframe of a few days and upwards. The outlined methodologies do not include intraday arbitrage; however, the astute trader could probably modify the interday strategies to the intraday trading horizon, by constantly monitoring evolving bid and ask spread differentials at the microscopic level, rather than monitoring conventional interday spreads (without placing too much, if any, emphasis on bid-ask differentials).

For the private trader, the book does provide some food for thought; however, unless a private trader has access to cutting edge technology and the appropriate price feeds, he will not be able to effectively execute too many of the posited strategies.

14 of 15 people found the following review helpful:

2.0 out of 5 stars definitely not technical !, March 23, 2004

By	Herr Andrea Nardon "andreanardon" (Europe) - See all my reviews

I bought this book in order to improve my knowledge on arbitrage. I was expecting to find some practical applications on the market like on (equity) pairs trading, yield curve arbitrage. The book provides a very broad and general overview on the concept of arbitrage and it is a very good book for someone who wants to understand the meaning of arbitrage and how and where he can do it. If you already know what arbitrage is, you dont need to read it.

8 of 8 people found the following review helpful:

3.0 out of 5 stars Difficult, but comprehensive read, December 23, 2006

By	Winston Kotzan (Chicago) - See all my reviews

The Arbitrage Deskbook is thorough guide to arbitrage trading strategies. It is extremely comprehensive, covering arbitrage in all markets - from equities, to bonds, to commodity futures, and more. Most important is that it gets the reader to think like an arbitrageur and recognize the arbitrage opportunities presented by different situations.

This book is so comprehensive, that it does sacrifice some depth for breadth. Many complicated math problems are glossed over; it is difficult to understand some concepts thoroughly because the examples are not explained to great detail. If you see an important section, I suggest rereading it several times for better understanding.

In general, the author seems to expect the reader to have intermediate to advanced academic knowledge of finance. Familiarity with financial math and formulas will make this book easier to read. I suggest having some introductory college-level finance courses before reading, because the formulas presented may seem very cryptic if you've never seen them before reading this book.

In general, I think this is a great tool as a reference and for getting familiar with arbitrage. Don't expect to know everything by reading through it one time - there is too much information to remember on a single pass. Rather, try using this to learn how an arbitrageur seeks opportunity and then reference the topics later as you need them (i.e. keep this deskbook on your desk!). This is a great read for any student interested in entering proprietary trading or hedge funds.