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.A strip yield curve of the Eurodollar contracts and the associated implied forward rates 4. ... While most arbitrage traders do not use technical analysis, it is still helpful for them to know the current behavioral tendencies of the technical traders .

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


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