Fixed Income Arbitrage PDF Download
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| Author | : M. Anthony Wong |
| Publisher | : John Wiley & Sons |
| Total Pages | : 288 |
| Release | : 1993-08-30 |
| Genre | : Business & Economics |
| ISBN | : 9780471555520 |
Download Fixed-Income Arbitrage Book in PDF, ePub and Kindle
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.
| Author | : Michel Guirguis |
| Publisher | : |
| Total Pages | : |
| Release | : 2019 |
| Genre | : |
| ISBN | : |
Download Examination of the Fees and Performance Structure of Fixed Income Arbitrage Hedge Funds Book in PDF, ePub and Kindle
This article aims at testing empirically the major building blocks that affect the performance of fixed income arbitrage hedge funds: incentive fees, management fees, size, age, hurdle rate, high watermark provision and lockup period. These funds engage principally in arbitrage strategies in the global corporate debt securities markets taking advantage of mispricings. Fixed income arbitrage funds take advantage of mispricing between fixed - income securities. Hedge fund managers open two positions at the same time to eliminate losses. A short and a long position aim to take advantage for price differences in the traded fixed - income securities. Government or municipal, corporate bonds and credit default swap are used to leverage the fund's return. They use derivatives product to hedge against credit risk. Another strategy is yield curve arbitrage and credit yield curve. The profit or loss is resulted from studying the difference between a short 3 month US bond and long term 10 year US bond yield curve. Sometimes, they use mortgage backed securities arbitrage.The sample is provided from Data Feeder dataset. It is very comprehensive and includes fixed income arbitrage hedge funds for the period 1998 to 2003. There are other factors that could contribute to performance persistence such as lock-up periods, hurdle rate and high water mark.We are going to use a probit binary regression equation to test the factors that create performance persistence.
| Author | : Bruce Tuckman |
| Publisher | : John Wiley & Sons |
| Total Pages | : 640 |
| Release | : 2011-10-13 |
| Genre | : Business & Economics |
| ISBN | : 111813396X |
Download Fixed Income Securities Book in PDF, ePub and Kindle
Fixed income practitioners need to understand the conceptual frameworks of their field; to master its quantitative tool-kit; and to be well-versed in its cash-flow and pricing conventions. Fixed Income Securities, Third Edition by Bruce Tuckman and Angel Serrat is designed to balance these three objectives. The book presents theory without unnecessary abstraction; quantitative techniques with a minimum of mathematics; and conventions at a useful level of detail. The book begins with an overview of global fixed income markets and continues with the fundamentals, namely, arbitrage pricing, interest rates, risk metrics, and term structure models to price contingent claims. Subsequent chapters cover individual markets and securities: repo, rate and bond forwards and futures, interest rate and basis swaps, credit markets, fixed income options, and mortgage-backed-securities. Fixed Income Securities, Third Edition is full of examples, applications, and case studies. Practically every quantitative concept is illustrated through real market data. This practice-oriented approach makes the book particularly useful for the working professional. This third edition is a considerable revision and expansion of the second. Most examples have been updated. The chapters on fixed income options and mortgage-backed securities have been considerably expanded to include a broader range of securities and valuation methodologies. Also, three new chapters have been added: the global overview of fixed income markets; a chapter on corporate bonds and credit default swaps; and a chapter on discounting with bases, which is the foundation for the relatively recent practice of discounting swap cash flows with curves based on money market rates.
| Author | : Barbara S. Petitt |
| Publisher | : John Wiley & Sons |
| Total Pages | : 752 |
| Release | : 2015-02-06 |
| Genre | : Business & Economics |
| ISBN | : 1119029767 |
Download Fixed Income Analysis Book in PDF, ePub and Kindle
The essential guide to fixed income portfolio management, from the experts at CFA Fixed Income Analysis is a new edition of Frank Fabozzi's Fixed Income Analysis, Second Edition that provides authoritative and up-to-date coverage of how investment professionals analyze and manage fixed income portfolios. With detailed information from CFA Institute, this guide contains comprehensive, example-driven presentations of all essential topics in the field to provide value for self-study, general reference, and classroom use. Readers are first introduced to the fundamental concepts of fixed income before continuing on to analysis of risk, asset-backed securities, term structure analysis, and a general framework for valuation that assumes no prior relevant background. The final section of the book consists of three readings that build the knowledge and skills needed to effectively manage fixed income portfolios, giving readers a real-world understanding of how the concepts discussed are practically applied in client-based scenarios. Part of the CFA Institute Investment series, this book provides a thorough exploration of fixed income analysis, clearly presented by experts in the field. Readers gain critical knowledge of underlying concepts, and gain the skills they need to translate theory into practice. Understand fixed income securities, markets, and valuation Master risk analysis and general valuation of fixed income securities Learn how fixed income securities are backed by pools of assets Explore the relationships between bond yields of different maturities Investment analysts, portfolio managers, individual and institutional investors and their advisors, and anyone with an interest in fixed income markets will appreciate this access to the best in professional quality information. For a deeper understanding of fixed income portfolio management practices, Fixed Income Analysis is a complete, essential resource.
| Author | : Eliezer Z Prisman |
| Publisher | : World Scientific |
| Total Pages | : 269 |
| Release | : 2017-02-27 |
| Genre | : Business & Economics |
| ISBN | : 9813149787 |
Download Lecture Notes In Fixed Income Fundamentals Book in PDF, ePub and Kindle
Written for undergraduates, this book is dedicated to fixed income fundamentals that do not require modeling the dynamics of interest rates. The book concentrates on understanding and explaining the pillars of fixed income markets, using the modern finance approach implied by the 'no free lunch' condition. It focuses on conceptual understanding so that novice readers will be familiar with tools needed to analyze bond markets. Institutional information is covered only to the extent that is necessary to obtain full appreciation of concepts.This volume will equip readers with a solid and intuitive understanding of the No Arbitrage Condition — its link to the existence and estimation of the term structure of interest rates, and to valuation of financial contracts. Using the modern approach of arbitrage arguments, the book addresses positions and contracts that do not require modeling evolution of interest rates. As such, it welcomes readers lacking the technical background for this modeling, and provides them with good intuition for interest rates, no arbitrage condition, bond markets and certain financial contracts.
| Author | : Matthias Bäuml |
| Publisher | : |
| Total Pages | : 58 |
| Release | : 2009 |
| Genre | : |
| ISBN | : 9783639205008 |
Download Hedge Fund's Performance Black Box Book in PDF, ePub and Kindle
This paper addresses the question from where the superior returns of fixed income arbitrage hedge funds come. I show that a dynamic multi-linear replication strategy identifies style factors to which fixed income arbitrageurs are exposed. A forward and backward looking stepwise regression procedure reveals the link between asset-based style and return-based style factors from January 1998 to December 2007. The major findings are as follows: strategy-wise, the long-only exposure is steadily increasing over time whereas trend-following and convergence trades seem to replace passive spread trades. Location-wise, particularly swap spread arbitrage and convertible bond positions are held in the portfolios. At the same time, mortgage-backed securities and yield curve arbitrage activities diminish significantly; emerging markets and asset-backed securities market actions remain quite stable. I also find that the economic dependence on a particular style sharply increased over time: the last wave predicts that a one standard deviation movement in the convertible bond spread leads to a 661.56 bps swing in arbitrage returns. That said, my findings contribute to the understanding of the systematic risk caused by hedge funds. I also find good news for investors: the alpha share is positive in almost all sub-periods, economically significant, and an index based on my model would properly capture the statistical properties of fixed income arbitrage hedge funds.
| Author | : Fouad Sabry |
| Publisher | : One Billion Knowledgeable |
| Total Pages | : 320 |
| Release | : 2024-02-02 |
| Genre | : Business & Economics |
| ISBN | : |
Download Arbitrage Book in PDF, ePub and Kindle
What is Arbitrage In the fields of economics and finance, arbitrage refers to the technique of taking advantage of a discrepancy in pricing in two or more markets by striking a combination of matching agreements in order to capitalize on the difference. The profit results from the difference between the market prices at which the unit is traded. A transaction is considered to be an arbitrage when it is employed by academics. An arbitrage is a transaction that does not include a negative cash flow at any probabilistic or temporal state and a positive cash flow in at least one state. To put it another way, it is the potential of a risk-free profit after consideration of transaction costs. When there is the prospect of quickly purchasing something at a low price and then selling it at a higher price, for instance, this is an example of an arbitrage opportunity. How you will benefit (I) Insights, and validations about the following topics: Chapter 1: Arbitrage Chapter 2: Derivative (finance) Chapter 3: Long-Term Capital Management Chapter 4: Bond (finance) Chapter 5: Futures contract Chapter 6: Equity derivative Chapter 7: Hedge (finance) Chapter 8: Convertible bond Chapter 9: Fixed income Chapter 10: Rational pricing Chapter 11: Convertible security Chapter 12: Corporate bond Chapter 13: Risk arbitrage Chapter 14: Convertible arbitrage Chapter 15: Fixed income arbitrage Chapter 16: Dual-listed company Chapter 17: Limits to arbitrage Chapter 18: Big Mac Index Chapter 19: Reverse convertible securities Chapter 20: Replicating portfolio Chapter 21: Convergence trade (II) Answering the public top questions about arbitrage. (III) Real world examples for the usage of arbitrage in many fields. Who this book is for Professionals, undergraduate and graduate students, enthusiasts, hobbyists, and those who want to go beyond basic knowledge or information for any kind of Arbitrage.
| Author | : Doug Huggins |
| Publisher | : John Wiley & Sons |
| Total Pages | : 389 |
| Release | : 2013-05-20 |
| Genre | : Business & Economics |
| ISBN | : 1118477219 |
Download Fixed Income Relative Value Analysis Book in PDF, ePub and Kindle
As western governments issue increasing amounts of debt, the fixed income markets have never been more important. Yet the methods for analyzing these markets have failed to keep pace with recent developments, including the deterioration in the credit quality of many sovereign issuers. In Fixed Income Relative Value Analysis, Doug Huggins and Christian Schaller address this gap with a set of analytic tools for assessing value in the markets for government bonds, interest rate swaps, and related basis swaps, as well as associated futures and options. Taking a practitioner’s point of view, the book presents the theory behind market analysis in connection with tools for finding and expressing trade ideas. The extensive use of actual market examples illustrates the ways these analytic tools can be applied in practice. The book covers: Statistical models for quantitative market analysis, in particular mean reversion models and principal component analysis. An in-depth approach to understanding swap spreads in theory and in practice. A comprehensive discussion of the various basis swaps and their combinations. The incorporation of credit default swaps in yield curve analysis. A classification of option trades, with appropriate analysis tools for each category. Fitted curve techniques for identifying relative value among different bonds. A multi-factor delivery option model for bond future contracts. Fixed Income Relative Value Analysis provides an insightful presentation of the relevant statistical and financial theories, a detailed set of statistical and financial tools derived from these theories, and a multitude of actual trades resulting from the application of these tools to the fixed income markets. As such, it’s an indispensable guide for relative value analysts, relative value traders, and portfolio managers for whom security selection and hedging are part of the investment process.
| Author | : Jerald E. Pinto |
| Publisher | : John Wiley & Sons |
| Total Pages | : 186 |
| Release | : 2015-01-30 |
| Genre | : Business & Economics |
| ISBN | : 1119029732 |
Download Fixed Income Analysis Workbook Book in PDF, ePub and Kindle
Fixed Income Analysis Workbook helps busy professionals better understand and apply the concepts and methodologies essential to fixed income portfolio management. A companion to the Fixed Income Analysis text, this helpful workbook offers learning objectives, chapter summaries, and practice problems that reinforce the practitioner-oriented material to give readers the confidence they need before applying these concepts to real cases. Readers will test their understanding of the metrics, methods, and mechanics associated with fixed income portfolios, and make use of the tools and techniques described in the text. Work topic-specific practice problems to facilitate intuitive understanding Review each topic quickly using clear chapter summaries Understand each chapter's objective to avoid missing key information Practice important methods and techniques before applying them in the real world For a more solid understanding of fixed income portfolio management, Fixed Income Analysis Workbook is a complete, practical resource.
| Author | : Roland Beunardeau |
| Publisher | : |
| Total Pages | : 170 |
| Release | : 2014 |
| Genre | : |
| ISBN | : |
Download Risks And Returns Of Fixed Income Arbitrage Strategies in Varying Economic Environments Book in PDF, ePub and Kindle
I propose a discrete time model of financial markets in which an arbitrageur has investment opportunities but faces a number of financial constraints. Investment opportunities arise when the price discrepancy between a pair of similar assets becomes large enough. I propose an innovative way to model the effects of market liquidity and the arbitrage industry's reversion force on a stochastic price discrepancy. I use empirical studies and common literature assumptions to build and calibrate the model. I then run a set of Monte-Carlo simulations to test the model's response to the risks and returns of a number of arbitrage strategies in varying economic conditions. The model's results are in line with a number of theories in the existing literature, and specifically confirm the role of the arbitrageur as a liquidity provider in disturbed market environments.
