LEADER 05416nam 2200697Ia 450 001 9910783518903321 005 20230617004938.0 010 $a1-283-37135-9 010 $a9786613371355 010 $a0-470-01225-0 035 $a(CKB)1000000000244099 035 $a(EBL)228327 035 $a(OCoLC)304144540 035 $a(SSID)ssj0000105104 035 $a(PQKBManifestationID)11130729 035 $a(PQKBTitleCode)TC0000105104 035 $a(PQKBWorkID)10086060 035 $a(PQKB)11434154 035 $a(MiAaPQ)EBC228327 035 $a(Au-PeEL)EBL228327 035 $a(CaPaEBR)ebr10113981 035 $a(CaONFJC)MIL337135 035 $a(EXLCZ)991000000000244099 100 $a20040427d2004 uy 0 101 0 $aeng 135 $aurcn||||||||| 181 $ctxt 182 $cc 183 $acr 200 13$aAn arbitrage guide to financial markets$b[electronic resource] /$fRobert Dubil 210 $aChichester $cWiley Finance$d2004 215 $a1 online resource (345 p.) 225 1 $aThe Wiley Finance Series ;$vv.453 300 $aDescription based upon print version of record. 311 $a0-470-85332-8 320 $aIncludes bibliographical references and index. 327 $aAn 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 327 $aYield 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 327 $aNegotiable 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); Custom baskets 327 $aThe 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 327 $aExample: 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 327 $aCurrency futures 330 $aAn Arbitrage Guide to Financial Markets is the first book to explicitly show the linkages of markets for equities, currencies, fixed income and commodities. Using a unique structural approach, it dissects all markets the same way: into spot, forward and contingent dimensions, bringing out the simplicity and the commonalities of all markets. The book shuns stochastic calculus in favor of cash flow details of arbitrage trades. All math is simple, but there is lots of it. The book reflects the relative value mentality of an institutional trader seeking profit from misalignments of various 410 0$aWiley finance series. 606 $aStock exchanges 606 $aInvestments$xMathematics 606 $aArbitrage 606 $aRisk 615 0$aStock exchanges. 615 0$aInvestments$xMathematics. 615 0$aArbitrage. 615 0$aRisk. 676 $a332.6 700 $aDubil$b Robert$0903980 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910783518903321 996 $aAn arbitrage guide to financial markets$93744144 997 $aUNINA