Valuing Fixed Income Futures (McGraw-Hill Library of Investment and Finance)

4 avg rating
( 1 ratings by Goodreads )
 
9780071475419: Valuing Fixed Income Futures (McGraw-Hill Library of Investment and Finance)

The more precisely risks can be defined the easier it is to make judgments about whether they're fairly valued. Valuing Fixed Income Futures is a practical resource that equips financial professionals with a means of measuring the performance of Treasury and Eurodollar futures.

Written by David Boberski, one of today's leading Wall Street analysts, the book explains how to apply technology to develop empirical frameworks to solve for embedded option valuation in Treasury and Eurodollar futures. He shows in detail how to build empirical models to measure risk...the drivers of Treasury/Eurodollar spreads...and more.

Valuing Fixed Income Futures focuses on developing tools to aid in relative value decisions. This expert guide takes readers step by step through every major aspect of fixed income futures valuation using hedging examples from the mortgage market:

  • An Overview of Where Futures Fit into the Fixed Income Landscape_ examining the characteristics of fixed income futures and what risks they entail
  • A Comprehensive Examination of the Futures Market_ detailing recent major changes in the trading arena, the ways in which futures mirror mortgage convexity, calendar spreads, and the types of traders who use futures to manage risks
  • Treasury Futures: The Language of the Basis_ covering delivery option, basis matrix, and “fear arbitrage” from recent squeezes in the market
  • Eurodollar Futures: Minimal Structure, Complex Implications_ exploring convexity bias, contrasting Eurodollar and Fed Funds valuation, hedging hybrid ARMs, and hedging in practice
  • Treasury/Eurodollar (TED) Spreads_ analyzing drivers of the spread and TED spread with empirical models
  • Pricing Options with an Event Model_ explaining why volatility drives option prices, and how to create a volatility map to anticipate future volatility

    Filled with scores of financial tables, charts, and figures, this complete valuation tool provides definitions of the entire range of fixed income futures terms, plus in-depth guidance for applying all models and methods.

    Valuing Fixed Income Futures presents a careful, state-of-the-art analysis of the technology for understanding price behavior and the risk of each contract not found in any similar resource.

  • "synopsis" may belong to another edition of this title.

    About the Author:

    McGraw-Hill authors represent the leading experts in their fields and are dedicated to improving the lives, careers, and interests of readers worldwide

    "About this title" may belong to another edition of this title.

    Top Search Results from the AbeBooks Marketplace

    1.

    David Boberski
    Published by McGraw-Hill Education (2006)
    ISBN 10: 0071475419 ISBN 13: 9780071475419
    New Hardcover Quantity Available: 1
    Seller
    Irish Booksellers
    (Rumford, ME, U.S.A.)
    Rating
    [?]

    Book Description McGraw-Hill Education, 2006. Hardcover. Book Condition: New. book. Bookseller Inventory # 0071475419

    More Information About This Seller | Ask Bookseller a Question

    Buy New
    17.45
    Convert Currency

    Add to Basket

    Shipping: FREE
    Within U.S.A.
    Destination, Rates & Speeds

    2.

    Boberski, David
    Published by McGraw-Hill Education (2006)
    ISBN 10: 0071475419 ISBN 13: 9780071475419
    New Hardcover Quantity Available: 2
    Seller
    Murray Media
    (North Miami Beach, FL, U.S.A.)
    Rating
    [?]

    Book Description McGraw-Hill Education, 2006. Hardcover. Book Condition: New. Bookseller Inventory # P110071475419

    More Information About This Seller | Ask Bookseller a Question

    Buy New
    35.25
    Convert Currency

    Add to Basket

    Shipping: 2.30
    Within U.S.A.
    Destination, Rates & Speeds

    3.

    David Boberski
    Published by McGraw-Hill (2006)
    ISBN 10: 0071475419 ISBN 13: 9780071475419
    New Hardcover Quantity Available: 1
    Seller
    Ergodebooks
    (RICHMOND, TX, U.S.A.)
    Rating
    [?]

    Book Description McGraw-Hill, 2006. Hardcover. Book Condition: New. 1. Bookseller Inventory # DADAX0071475419

    More Information About This Seller | Ask Bookseller a Question

    Buy New
    34.80
    Convert Currency

    Add to Basket

    Shipping: 3.07
    Within U.S.A.
    Destination, Rates & Speeds

    4.

    Boberski, David
    ISBN 10: 0071475419 ISBN 13: 9780071475419
    New Quantity Available: > 20
    Seller
    Pbshop
    (Wood Dale, IL, U.S.A.)
    Rating
    [?]

    Book Description 2006. HRD. Book Condition: New. New Book.Shipped from US within 10 to 14 business days. Established seller since 2000. Bookseller Inventory # IB-9780071475419

    More Information About This Seller | Ask Bookseller a Question

    Buy New
    37.73
    Convert Currency

    Add to Basket

    Shipping: 3.07
    Within U.S.A.
    Destination, Rates & Speeds

    5.

    David Boberski
    Published by McGraw-Hill Education - Europe, United States (2006)
    ISBN 10: 0071475419 ISBN 13: 9780071475419
    New Paperback Quantity Available: 10
    Seller
    The Book Depository
    (London, United Kingdom)
    Rating
    [?]

    Book Description McGraw-Hill Education - Europe, United States, 2006. Paperback. Book Condition: New. Language: English . Brand New Book. The more precisely risks can be defined the easier it is to make judgments about whether they re fairly valued. Valuing Fixed Income Futures is a practical resource that equips financial professionals with a means of measuring the performance of Treasury and Eurodollar futures. Written by David Boberski, one of today s leading Wall Street analysts, the book explains how to apply technology to develop empirical frameworks to solve for embedded option valuation in Treasury and Eurodollar futures. He shows in detail how to build empirical models to measure risk!the drivers of Treasury/Eurodollar spreads!and more. Valuing Fixed Income Futures focuses on developing tools to aid in relative value decisions.This expert guide takes readers step by step through every major aspect of fixed income futures valuation using hedging examples from the mortgage market: An Overview of Where Futures Fit into the Fixed Income Landscape examining the characteristics of fixed income futures and what risks they entail A Comprehensive Examination of the Futures Market detailing recent major changes in the trading arena, the ways in which futures mirror mortgage convexity, calendar spreads, and the types of traders who use futures to manage risks Treasury Futures: The Language of the Basis covering delivery option, basis matrix, and fear arbitrage from recent squeezes in the market Eurodollar Futures: Minimal Structure, Complex Implications exploring convexity bias, contrasting Eurodollar and Fed Funds valuation, hedging hybrid ARMs, and hedging in practice Treasury/Eurodollar (TED) Spreads analyzing drivers of the spread and TED spread with empirical models Pricing Options with an Event Model explaining why volatility drives option prices, and how to create a volatility map to anticipate future volatility Filled with scores of financial tables, charts, and figures, this complete valuation tool provides definitions of the entire range of fixed income futures terms, plus in-depth guidance for applying all models and methods.Valuing Fixed Income Futures presents a careful, state-of-the-art analysis of the technology for understanding price behavior and the risk of each contract not found in any similar resource. Bookseller Inventory # AAC9780071475419

    More Information About This Seller | Ask Bookseller a Question

    Buy New
    46.14
    Convert Currency

    Add to Basket

    Shipping: FREE
    From United Kingdom to U.S.A.
    Destination, Rates & Speeds

    6.

    Boberski, David
    Published by McGraw-Hill Education (2006)
    ISBN 10: 0071475419 ISBN 13: 9780071475419
    New Quantity Available: > 20
    Seller
    Books2Anywhere
    (Fairford, GLOS, United Kingdom)
    Rating
    [?]

    Book Description McGraw-Hill Education, 2006. HRD. Book Condition: New. New Book. Shipped from US within 10 to 14 business days. Established seller since 2000. Bookseller Inventory # IB-9780071475419

    More Information About This Seller | Ask Bookseller a Question

    Buy New
    37.88
    Convert Currency

    Add to Basket

    Shipping: 9
    From United Kingdom to U.S.A.
    Destination, Rates & Speeds

    7.

    Boberski, David
    Published by McGraw-Hill Education
    ISBN 10: 0071475419 ISBN 13: 9780071475419
    New Hardcover Quantity Available: 1
    Seller
    Qwestbooks COM LLC
    (Bensalem, PA, U.S.A.)
    Rating
    [?]

    Book Description McGraw-Hill Education. Hardcover. Book Condition: New. 0071475419. Bookseller Inventory # Z0071475419ZN

    More Information About This Seller | Ask Bookseller a Question

    Buy New
    47.42
    Convert Currency

    Add to Basket

    Shipping: FREE
    Within U.S.A.
    Destination, Rates & Speeds

    8.

    Boberski, David
    Published by McGraw-Hill Education
    ISBN 10: 0071475419 ISBN 13: 9780071475419
    New Hardcover Quantity Available: 3
    Seller
    Lakeside Books
    (Benton Harbor, MI, U.S.A.)
    Rating
    [?]

    Book Description McGraw-Hill Education. Hardcover. Book Condition: New. 0071475419 BRAND NEW, GIFT QUALITY! NOT OVERSTOCKS OR MARKED UP REMAINDERS! DIRECT FROM THE PUBLISHER!|1.16. Bookseller Inventory # OTF-Y-9780071475419

    More Information About This Seller | Ask Bookseller a Question

    Buy New
    44.61
    Convert Currency

    Add to Basket

    Shipping: 3.07
    Within U.S.A.
    Destination, Rates & Speeds

    9.

    David Boberski
    Published by McGraw-Hill Education - Europe, United States (2006)
    ISBN 10: 0071475419 ISBN 13: 9780071475419
    New Paperback Quantity Available: 10
    Seller
    The Book Depository US
    (London, United Kingdom)
    Rating
    [?]

    Book Description McGraw-Hill Education - Europe, United States, 2006. Paperback. Book Condition: New. Language: English . Brand New Book. The more precisely risks can be defined the easier it is to make judgments about whether they re fairly valued. Valuing Fixed Income Futures is a practical resource that equips financial professionals with a means of measuring the performance of Treasury and Eurodollar futures. Written by David Boberski, one of today s leading Wall Street analysts, the book explains how to apply technology to develop empirical frameworks to solve for embedded option valuation in Treasury and Eurodollar futures. He shows in detail how to build empirical models to measure risk!the drivers of Treasury/Eurodollar spreads!and more. Valuing Fixed Income Futures focuses on developing tools to aid in relative value decisions.This expert guide takes readers step by step through every major aspect of fixed income futures valuation using hedging examples from the mortgage market: An Overview of Where Futures Fit into the Fixed Income Landscape examining the characteristics of fixed income futures and what risks they entail A Comprehensive Examination of the Futures Market detailing recent major changes in the trading arena, the ways in which futures mirror mortgage convexity, calendar spreads, and the types of traders who use futures to manage risks Treasury Futures: The Language of the Basis covering delivery option, basis matrix, and fear arbitrage from recent squeezes in the market Eurodollar Futures: Minimal Structure, Complex Implications exploring convexity bias, contrasting Eurodollar and Fed Funds valuation, hedging hybrid ARMs, and hedging in practice Treasury/Eurodollar (TED) Spreads analyzing drivers of the spread and TED spread with empirical models Pricing Options with an Event Model explaining why volatility drives option prices, and how to create a volatility map to anticipate future volatility Filled with scores of financial tables, charts, and figures, this complete valuation tool provides definitions of the entire range of fixed income futures terms, plus in-depth guidance for applying all models and methods.Valuing Fixed Income Futures presents a careful, state-of-the-art analysis of the technology for understanding price behavior and the risk of each contract not found in any similar resource. Bookseller Inventory # AAC9780071475419

    More Information About This Seller | Ask Bookseller a Question

    Buy New
    47.80
    Convert Currency

    Add to Basket

    Shipping: FREE
    From United Kingdom to U.S.A.
    Destination, Rates & Speeds

    10.

    Boberski, David
    Published by McGraw-Hill Education (2006)
    ISBN 10: 0071475419 ISBN 13: 9780071475419
    New Hardcover Quantity Available: 12
    Seller
    Murray Media
    (North Miami Beach, FL, U.S.A.)
    Rating
    [?]

    Book Description McGraw-Hill Education, 2006. Hardcover. Book Condition: New. Bookseller Inventory # 0071475419

    More Information About This Seller | Ask Bookseller a Question

    Buy New
    45.65
    Convert Currency

    Add to Basket

    Shipping: 2.30
    Within U.S.A.
    Destination, Rates & Speeds

    There are more copies of this book

    View all search results for this book