LEADER 01067nam2 22002891i 450 001 RML0239053 005 20231121125705.0 100 $a20121121d1995 ||||0itac50 ba 101 | $aeng 102 $aus 181 1$6z01$ai $bxxxe 182 1$6z01$an 200 1 $aWorkers in an integrating world$fThe World Bank 210 $aNew York $cOxford U.P. $d1995 215 $arafici e tab.$d27 cm. 461 1$1001RMLE060305$12001 $aWorld development reportTheWorld Bank 606 $aPaesi in via di sviluppo$2FIR$3RMLC213887$9I 676 $a330.91724$9$v21 700 0$a˜The œWorld Bank$3RMLV148678$01442941 801 3$aIT$bIT-01$c20121121 850 $aIT-FR0098 899 $aBiblioteca Area Giuridico Economica$bFR0098 912 $aRML0239053 950 2$aBiblioteca Area Giuridico Economica$d 53TER Sala periodici I piano WDR.95$e 53VM 0000079765 VM barcode:ECO001406. - Fondo:PER00VM$fA $h19961127$i20121204 977 $a 53 996 $aWorkers in an integrating world$93620478 997 $aUNICAS LEADER 05513nam 2200745Ia 450 001 9911018811403321 005 20200520144314.0 010 $a9786613283122 010 $a9781119960775 010 $a1119960770 010 $a9781283283120 010 $a1283283123 010 $a9781118467367 010 $a1118467361 010 $a9781119952978 010 $a1119952972 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(Perlego)1014115 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 $ea relative value guide /$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 $aDescription based upon print version of record. 311 08$a9780470742297 311 08$a0470742291 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 $aFinance, Personal 615 0$aInvestments. 615 0$aFinance, Personal. 676 $a332.63/2 686 $aBUS036000$2bisacsh 700 $aSchofield$b Neil C$0868551 701 $aBowler$b Troy$01842568 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9911018811403321 996 $aTrading the fixed income, inflation and credit markets$94422736 997 $aUNINA