An Arbitrage Guide to Financial Markets.
Robert. Dubil
Bok Engelsk 2004 · Electronic books.
| Utgitt | Chichester : Wiley , c2004
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| Omfang | 1 online resource (345 pages)
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| Utgave | 1st ed.
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| Opplysninger | Intro -- An Arbitrage Guide to Financial Markets -- Contents -- 1 The Purpose and Structure of Financial Markets -- 1.1 Overview -- 1.2 Risk sharing -- 1.3 The structure of financial markets -- 1.4 Arbitrage: Pure vs. relative value -- 1.5 Financial institutions: Asset transformers and broker-dealers -- 1.6 Primary and secondary markets -- 1.7 Market players: Hedgers vs. speculators -- 1.8 Preview of the book -- Part One SPOT -- 2 Financial Math I-Spot -- 2.1 Interest-rate basics -- Present value -- Compounding -- Day-count conventions -- Rates vs. yields -- 2.2 Zero, coupon and amortizing rates -- Zero-coupon rates -- Coupon rates -- Yield to maturity -- Amortizing rates -- Floating-rate bonds -- 2.3 The term structure of interest rates -- Discounting coupon cash flows with zero rates -- Constructing the zero curve by bootstrapping -- 2.4 Interest-rate risk -- Duration -- Portfolio duration -- Convexity -- Other risk measures -- 2.5 Equity markets math -- A dividend discount model -- Beware of P/E ratios -- 2.6 Currency markets -- 3 Fixed Income Securities -- 3.1 Money markets -- U.S. Treasury bills -- Federal agency discount notes -- Short-term munis -- Fed Funds (U.S.) and bank overnight refinancing (Europe) -- Repos (RPs) -- Eurodollars and Eurocurrencies -- Negotiable CDs -- Bankers' acceptances (BAs) -- Commercial paper (CP) -- 3.2 Capital markets: Bonds -- U.S. government and agency bonds -- Government bonds in Europe and Asia -- Corporates -- Munis -- 3.3 Interest-rate swaps -- 3.4 Mortgage securities -- 3.5 Asset-backed securities -- 4 Equities, Currencies, and Commodities -- 4.1 Equity markets -- Secondary markets for individual equities in the U.S. -- Secondary markets for individual equities in Europe and Asia -- Depositary receipts and cross-listing -- Stock market trading mechanics -- Stock indexes -- Exchange-traded funds (ETFs).. - 7.3 Bond futures arbitrage -- 7.4 Spot-Forward arbitrage in fixed-income markets -- Zero-Forward trades -- Coupon-Forward trades -- 7.5 Dynamic hedging with a Euro strip -- 7.6 Dynamic duration hedge -- 8 Swap Markets -- 8.1 Swap-driven finance -- Fixed-for-fixed currency swap -- Fixed-for-floating interest-rate swap -- Off-market swaps -- 8.2 The anatomy of swaps as packages of forwards -- Fixed-for-fixed currency swap -- Fixed-for-floating interest-rate swap -- Other swaps -- Swap book running -- 8.3 The pricing and hedging of swaps -- 8.4 Swap spread risk -- 8.5 Structured finance -- Inverse floater -- Leveraged inverse floater -- Capped floater -- Callable -- Range -- Index principal swap -- 8.6 Equity swaps -- 8.7 Commodity and other swaps -- 8.8 Swap market statistics -- Part Three OPTIONS -- 9 Financial Math III-Options -- 9.1 Call and put payoffs at expiry -- 9.2 Composite payoffs at expiry -- Straddles and strangles -- Spreads and combinations -- Binary options -- 9.3 Option values prior to expiry -- 9.4 Options, forwards and risk-sharing -- 9.5 Currency options -- 9.6 Options on non-price variables -- 9.7 Binomial options pricing -- One-step examples -- A multi-step example -- Black-Scholes -- Dividends -- 9.8 Residual risk of options: Volatility -- Implied volatility -- Volatility smiles and skews -- 9.9 Interest-rate options, caps, and floors -- Options on bond prices -- Caps and floors -- Relationship to FRAs and swaps -- An application -- 9.10 Swaptions -- Options to cancel -- Relationship to forward swaps -- 9.11 Exotic options -- Periodic caps -- Constant maturity options (CMT or CMS) -- Digitals and ranges -- Quantos -- 10 Option Arbitrage -- 10.1 Cash-and-carry static arbitrage -- Borrowing against the box -- Index arbitrage with options -- Warrant arbitrage -- 10.2 Running an option book: Volatility arbitrage.. - Custom baskets -- The role of secondary equity markets in the economy -- 4.2 Currency markets -- 4.3 Commodity markets -- 5 Spot Relative Value Trades -- 5.1 Fixed-income strategies -- Zero-coupon stripping and coupon replication -- Duration-matched trades -- Example: Bullet-barbell -- Example: Twos vs. tens -- Negative convexity in mortgages -- Spread strategies in corporate bonds -- Example: Corporate spread widening/narrowing trade -- Example: Corporate yield curve trades -- Example: Relative spread trade for high and low grades -- 5.2 Equity portfolio strategies -- Example: A non-diversified portfolio and benchmarking -- Example: Sector plays -- 5.3 Spot currency arbitrage -- 5.4 Commodity basis trades -- Part Two FORWARDS -- 6 Financial Math II-Futures and Forwards -- 6.1 Commodity futures mechanics -- 6.2 Interest-rate futures and forwards -- Overview -- Eurocurrency deposits -- Eurodollar futures -- Certainty equivalence of ED futures -- Forward-rate agreements (FRAs) -- Certainty equivalence of FRAs -- 6.3 Stock index futures -- Locking in a forward price of the index -- Fair value of futures -- Fair value with dividends -- Single stock futures -- 6.4 Currency forwards and futures -- Fair value of currency forwards -- Covered interest-rate parity -- Currency futures -- 6.5 Convenience assets-backwardation and contango -- 6.6 Commodity futures -- 6.7 Spot-Forward arbitrage in interest rates -- Synthetic LIBOR forwards -- Synthetic zeros -- Floating-rate bonds -- Synthetic equivalence guaranteed by arbitrage -- 6.8 Constructing the zero curve from forwards -- 6.9 Recovering forwards from the yield curve -- The valuation of a floating-rate bond -- Including repo rates in computing forwards -- 6.10 Energy forwards and futures -- 7 Spot-Forward Arbitrage -- 7.1 Currency arbitrage -- 7.2 Stock index arbitrage and program trading.. - Hedging with options on the same underlying -- Volatility skew -- Options with different maturities -- 10.3 Portfolios of options on different underlyings -- Index volatility vs. individual stocks -- Interest-rate caps and floors -- Caps and swaptions -- Explicit correlation bets -- 10.4 Options spanning asset classes -- Convertible bonds -- Quantos and dual-currency bonds with fixed conversion rates -- Dual-currency callable bonds -- 10.5 Option-adjusted spread (OAS) -- 10.6 Insurance -- Long-dated commodity options -- Options on energy prices -- Options on economic variables -- A final word -- Appendix CREDIT RISK -- 11 Default Risk (Financial Math IV) and Credit Derivatives -- 11.1 A constant default probability model -- 11.2 A credit migration model -- 11.3 Alternative models -- 11.4 Credit exposure calculations for derivatives -- 11.5 Credit derivatives -- Basics -- Credit default swap -- Total-rate-of-return swap -- Credit-linked note -- Credit spread options -- 11.6 Implicit credit arbitrage plays -- Credit arbitrage with swaps -- Callable bonds -- 11.7 Corporate bond trading -- Index.. - "This is an excellent introduction to the financial markets by an author with a strong academic approach and practical insights from trading expereince. At a time when the proliferation of financial instruments and the increased use of sophisticated mathematics in their analysis, makes an introduction to financial market intimidating to most, this book is very useful. It provides an insight into the core concepts across markets and uses mathematics at an accessible level. It equips readers to understand the fundamentals of markets, valuation and trading. I would lighly recommend it to anyone looking to understand the essentials of successfully trading, structuring or using the entire range of financial instruments available today." Varun Gosain, Principal, Constellation Capital Management, New York.
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| Emner | |
| Sjanger | |
| Dewey | |
| ISBN | 0470853328
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