Fixed-Income Arbitrage

Fixed-Income Arbitrage

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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.... 245 futures market, 48-49 JOB and UST markets compared, 45-^8 options market, 49 primary market, 43-45 Kappa, 103 K factorial, ... 90 London Interbank Offered Rate (LIBOR), 9, 10, 52, 184 London International Financial Futures Exchange (LIFFE), 48 Long-dated ... Options Notes), 24 Management support, 245-246 Market data vendors, 153 Market makers, 53-54 Market participants: buy -and-holdanbsp;...

Title:Fixed-Income Arbitrage
Author:M. Anthony Wong, Robert High
Publisher:John Wiley & Sons - 1993-08-26


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