LEADER 05426nam 2200697Ia 450 001 9910139599403321 005 20170815163308.0 010 $a1-119-96077-0 010 $a1-283-28312-3 010 $a9786613283122 010 $a1-118-46736-1 010 $a1-119-95297-2 035 $a(CKB)2550000000054294 035 $a(EBL)697606 035 $a(OCoLC)758386791 035 $a(SSID)ssj0000555661 035 $a(PQKBManifestationID)11336574 035 $a(PQKBTitleCode)TC0000555661 035 $a(PQKBWorkID)10519980 035 $a(PQKB)11427446 035 $a(MiAaPQ)EBC697606 035 $a(EXLCZ)992550000000054294 100 $a20110708d2011 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aTrading the fixed income, inflation and credit markets$b[electronic resource] $ea relative value guide /$fNeil C. Schofield, Troy Bowler 205 $a2nd ed. 210 $aHoboken, NJ $cWiley$d2011 215 $a1 online resource (311 p.) 225 1 $aThe Wiley finance series 300 $aDescription based upon print version of record. 311 $a0-470-74229-1 320 $aIncludes bibliographical references and index. 327 $aTrading the Fixed Income, Inflation and Credit Markets; Contents; Preface; Acknowledgements; About the Authors; 1 Product Fundamentals; 1.1 Chapter Overview; 1.2 Bond Fundamentals; 1.2.1 Fixed income structures; 1.2.2 Floating-rate notes; 1.2.3 Inflation; 1.3 Repurchase Agreements; 1.4 Credit Fundamentals; 1.5 Derivative Fundamentals; 1.5.1 Futures; 1.5.2 Forwards; 1.5.3 Swaps; 1.5.4 Vanilla options; 1.5.5 Exotic options; 2 Pricing Relationships; 2.1 Relative Value; 2.2 The Relative Value Triangle; 2.3 Spot Pricing; 2.3.1 Pricing fixed income securities; 2.3.2 Par yield curves 327 $a2.3.3 Zero-coupon yield curves2.3.4 Forward yield curves; 2.3.5 Pricing floating-rate notes; 2.3.6 Inflation pricing; 2.3.7 Credit pricing; 2.4 The Spot-Forward Relationship; 2.4.1 Fixed income; 2.4.2 Credit markets; 2.5 The Spot-Swap Relationship; 2.5.1 Pricing swaps - counterparty credit risk; 2.6 The Forward-Swap Relationship; 2.7 Pricing Options-Relationship With The Underlying Market; 2.7.1 Black-Scholes-Merton: an intuitive approach; 2.7.2 From closed-form to binomial pricing techniques; 2.7.3 Monte Carlo simulation; 2.7.4 Put-call parity 327 $aAppendix 2.1 Monetary Policy and Overnight Interest RatesAppendix 2.2 OIS Discounting; 3 Market Risk Management; 3.1 What Do We Mean By Risk?; 3.2 Defining Market Risk; 3.3 Spot Market Risk; 3.3.1 Macaulay duration; 3.3.2 Modified duration; 3.3.3 Convexity; 3.3.4 Dollar value of an 01; 3.3.5 Market risk of a floating-rate note; 3.3.6 Market risk of credit instruments; 3.4 Forward Risk; 3.4.1 Fixed income; 3.4.2 Credit; 3.5 Swap Market Risk; 3.5.1 Spot swap risk; 3.5.2 Carry and roll down; 3.5.3 Application of DV01; 3.5.4 Forward-starting swap risk; 3.6 Option Risk Management; 3.6.1 Delta 327 $a3.6.2 Gamma3.6.3 Theta; 3.6.4 Vega; 3.6.5 Smiles, skews and surfaces; 3.7 Value at Risk; 4 Expressing Views on the Interrelationships between Products; 4.1 The Spot-Forward Relationship; 4.1.1 Bond futures; 4.1.2 The cheapest to deliver; 4.1.3 Changes in the cheapest to deliver; 4.1.4 The yield beta; 4.1.5 Trading the basis; 4.1.6 Implementing a basis trade; 4.2 The Spot-Swap Relationship; 4.2.1 Understanding swap spreads; 4.2.2 Negative swap spreads; 4.3 The Forward-Swap Relationship; 4.4 Options and Trading Volatility; 4.4.1 Expressing views on market direction and volatility 327 $a4.4.2 Assessing volatility: cheap or rich?4.4.3 Expressing views on volatility of volatility; 4.4.4 The relationship between volatility and the underlying asset; 5 Identifying Value in Sovereign Bonds; 5.1 What Is Relative Value?; 5.2 Understanding the Yield Curve; 5.2.1 Yield curve formation; 5.2.2 How does the yield curve move?; 5.2.3 Yield curve movements; 5.2.4 How do yield curves actually move?; 5.2.5 Yield curve modelling; 5.3 Measures of Spread; 5.3.1 Decomposing bond yields; 5.3.2 Swap spreads; 5.3.3 CDS spreads; 5.3.4 I-spread; 5.3.5 TED spread; 5.3.6 Z-spread 327 $a5.3.7 Option-adjusted spread 330 $aTrading the Fixed Income, Inflation and Credit Markets is a comprehensive guide to the most popular strategies that are used in the wholesale financial markets, answering the question: what is the optimal way to express a view on expected market movements? This relatively unique approach to relative value highlights the pricing links between the different products and how these relationships can be used as the basis for a number of trading strategies. The book begins by looking at the main derivative products and their pricing interrelationships. It shows that within any asset 410 0$aWiley finance series. 606 $aInvestments 606 $aFinance, Personal 608 $aElectronic books. 615 0$aInvestments. 615 0$aFinance, Personal. 676 $a332.63 676 $a332.632 686 $aBUS036000$2bisacsh 700 $aSchofield$b Neil C$0868551 701 $aBowler$b Troy$0908876 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910139599403321 996 $aTrading the fixed income, inflation and credit markets$92032779 997 $aUNINA LEADER 01148nam a2200337 i 4500 001 991000909549707536 005 20020507175652.0 008 950908s1981 de ||| | eng 020 $a3540108394 035 $ab1077435x-39ule_inst 035 $aLE01304169$9ExL 040 $aDip.to Matematica$beng 082 0 $a510 082 0 $a512.55 084 $aAMS 11F30 100 1 $aBruggeman, Roelof W.$056659 245 10$aFourier coefficients of automorphic forms /$cRoelof W. Bruggeman 260 $aBerlin :$bSpringer-Verlag,$c1981 300 $a200 p. ;$c25 cm. 490 0 $aLecture notes in mathematics,$x0075-8434 ;$v865 500 $aBibliography: p. [196]-197. 500 $aIncludes indexes 650 4$aAutomorphic forms 650 4$aFourier coefficients 650 4$aFourier series 907 $a.b1077435x$b23-02-17$c28-06-02 912 $a991000909549707536 945 $aLE013 11F BRU11 (1981)$g1$i2013000034775$lle013$o-$pE0.00$q-$rl$s- $t0$u1$v0$w1$x0$y.i10873120$z28-06-02 996 $aFourier coefficients of automorphic forms$980959 997 $aUNISALENTO 998 $ale013$b01-01-95$cm$da $e-$feng$gde $h0$i1