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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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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3 of 3 people found the following review helpful:
2.0 out of 5 stars
Ignorable,
This review is from: Fixed-Income Arbitrage: Analytical Techniques and Strategies (Hardcover)
Yellowed paper, charts from the 1980s, reference to a top-of-the-line workstation with a 330 MB hard drive.. The book came out in 1993. It offers fixed-income and derivatives-lite math and market details available in any other book with 'fixed income' in its title, and has, I think, about 20 pages of more original content, including a 5-page discussion of common FI strategies. Is that worth $60? You decide.
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Inside This Book
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Key Phrases - Statistically Improbable Phrases (SIPs):
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spread analysis, odd first coupon period, term repo rate, empirical yield curve, deliverable bill, new issue option, other sensitivity measures, implied repo rate, deliverable issues, mispriced options, coupon accrual, maturity sector, treasury calculations, debt options, note squeeze, other contingent claims, note future contract, repo market, first coupon payment, foreign bond markets, riskless arbitrage opportunities, discounting function, benchmark issue, coupon curve, current coupon Key Phrases - Capitalized Phrases (CAPs): (learn more)
New York, Federal Reserve, December T-bond, Probus Publishing Company, San Francisco, John Wiley, September T-bond, Performance Table, The Effect of Delivery Options, The Handbook of Treasury Securities, Portfolio Management Technology, United States, The Journal of Finance, Standard Prepayment Model, Chicago Board of Trade, Change Sprd, Wall Street, March T-bond, Closing Yield, Coupon Issue, Treasury Yield Curve Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
spread analysis, odd first coupon period, term repo rate, empirical yield curve, deliverable bill, new issue option, other sensitivity measures, implied repo rate, deliverable issues, mispriced options, coupon accrual, maturity sector, treasury calculations, debt options, note squeeze, other contingent claims, note future contract, repo market, first coupon payment, foreign bond markets, riskless arbitrage opportunities, discounting function, benchmark issue, coupon curve, current coupon Key Phrases - Capitalized Phrases (CAPs): (learn more)
New York, Federal Reserve, December T-bond, Probus Publishing Company, San Francisco, John Wiley, September T-bond, Performance Table, The Effect of Delivery Options, The Handbook of Treasury Securities, Portfolio Management Technology, United States, The Journal of Finance, Standard Prepayment Model, Chicago Board of Trade, Change Sprd, Wall Street, March T-bond, Closing Yield, Coupon Issue, Treasury Yield Curve Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
Citations (learn more)
1
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cites this book:
- Trading Applications of Japanese Candlestick Charting (Wiley Finance) by Gary S. Wagner in Front Matter
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