Articles liés à Valuing Fixed Income Futures

Valuing Fixed Income Futures - Couverture rigide

Boberski, David

 
9780071475419: Valuing Fixed Income Futures
Couverture rigide
ISBN 10 : 0071475419 ISBN 13 : 9780071475419
Editeur : McGraw-Hill Professional, 2006

Synopsis

The more precisely risks can be defined the easier it is to make judgments about whether they're fairly valued. Valuing Fixed Income Futures is a practical resource that equips financial professionals with a means of measuring the performance of Treasury and Eurodollar futures.

Written by David Boberski, one of today's leading Wall Street analysts, the book explains how to apply technology to develop empirical frameworks to solve for embedded option valuation in Treasury and Eurodollar futures. He shows in detail how to build empirical models to measure risk…the drivers of Treasury/Eurodollar spreads…and more.

Valuing Fixed Income Futures focuses on developing tools to aid in relative value decisions. This expert guide takes readers step by step through every major aspect of fixed income futures valuation using hedging examples from the mortgage market:

  • An Overview of Where Futures Fit into the Fixed Income Landscape_ examining the characteristics of fixed income futures and what risks they entail
  • A Comprehensive Examination of the Futures Market_ detailing recent major changes in the trading arena, the ways in which futures mirror mortgage convexity, calendar spreads, and the types of traders who use futures to manage risks
  • Treasury Futures: The Language of the Basis_ covering delivery option, basis matrix, and “fear arbitrage” from recent squeezes in the market
  • Eurodollar Futures: Minimal Structure, Complex Implications_ exploring convexity bias, contrasting Eurodollar and Fed Funds valuation, hedging hybrid ARMs, and hedging in practice
  • Treasury/Eurodollar (TED) Spreads_ analyzing drivers of the spread and TED spread with empirical models
  • Pricing Options with an Event Model_ explaining why volatility drives option prices, and how to create a volatility map to anticipate future volatility

    Filled with scores of financial tables, charts, and figures, this complete valuation tool provides definitions of the entire range of fixed income futures terms, plus in-depth guidance for applying all models and methods.

    Valuing Fixed Income Futures presents a careful, state-of-the-art analysis of the technology for understanding price behavior and the risk of each contract not found in any similar resource.

    • Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

    À propos de l'auteur

    McGraw-Hill authors represent the leading experts in their fields and are dedicated to improving the lives, careers, and interests of readers worldwide

    Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

    Éditeur
    McGraw-Hill Professional
    Date d'édition
    2006
    Langue
    anglais
    ISBN 10 
    0071475419
    ISBN 13 
    9780071475419
    Reliure
    Relié
    Nombre de pages
    304
    Coordonnées du fabricant
    non disponible
    Personne responsable
    non disponible