Arbitrage Research and Trading

These links are extracts, typically only few pages each (**).

2.4.3 EuroDeposits and Euro/Petro-Dollars 60

3.1 Overview of Financial Products and Cash Flows 106

3.5.3 Yield Enhancement, Risk Reduction, and Other Factors 188

3.6.1 BIS/Basle, ISDA, etc, and Regulators/Agreements 194

4.4 Price to Yield (IRR) Conversion 221


    5 Certainty and Uncertainty in IR Valuation/Risk – Part I 239

6.4 IR Curve Generation Basics (via Market Convention) 254

6.5.2 A LIBOR/Swap Curve ... and More Reality 271

6.6 Basic Curve Usage Issues 288

7.1.2 Risk Neutral Delivery of Loans and Bonds 315

7.2.2 Cash and Carry Arbitrage – Idealised 323

7.2.4 Cash and Carry Arbitrage – Real World 331

7.2.9 Interest Rate Parity Arbitrage 342


    8 Money Market Instruments 345

9.2.8 Bond Quotations and Terminology 391

9.2.9 A Bond Transaction: Price vs. P&L 399

9.5.5 Inverse Floaters 425

11.1.1 Deposit Futures – Example: EuroDollar Futures 450

11.6.2 Tick Value and Curvature (One Kind of “Convexity”) 477

11.8.3 Pricing a Bond Future 498

11.10 Example Transaction with Position Profile (M2M, P&L, Risk, etc) 523

12.2.1 The Basic Swap Concept 544

12.2.10 Interest Rate Swap Pricing: Fixed/Floating – Zero-Coupon Method 565

12.3.3 Spread to LIBOR Swaps 581

12.4 Contracts, Lines, Limits, and ISDA 591

13.2.3 Constant Maturity Treasuries 637

13.2.5 Basket and Index Structures 651

13.2.8 FX’d and Foreign Bonds 660

13.5.7 Vanilla Cross-currency Swaps: Fixed-Fixed – Examples 680

13.10 Credit and Credit Ratings in Valuation 723

14.3.10 Exotic Options 756

15.1.2 Types of Risk Measures 788

15.7.1 Sensitivity Hedge: Bond/Bond and Bond/Futures 839

15.8.2 Bucket Curve Shifts and Rotation 866

15.11.3 Historical Methods: HVaR 893

16.2.5 A Bond/Curve Spread: The NoB 933

16.2.8 Curvature, Curve Arbitrage, and Butterflies 941

17.8.9 Back Testing the Hedging Strategy and the (1-factor) model 991

(**) In read-only PDF format, only for assessment for purchase and no other reason whatsoever and may not be distributed in any manner whatsoever.