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

Boberski, David

Hardcover

ISBN 10: 0071475419 ISBN 13: 9780071475419

Publisher: McGraw Hill, 2006

Synopsis

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.

About this title

Synopsis:

This book helps you dramatically improve fixed income futures trading and achieve superior risk control! Designed to provide a competitive edge in a fast-changing market, "Valuing Fixed Income Futures" delivers unsurpassed coverage of today's most effective techniques for anticipating price behavior and the risk of each futures contract. Readers will find detailed descriptions about the performance of Treasury and Eurodollar futures in light of other instruments in the U.S. Treasury, interest rate swap and mortgage markets. The author utilizes solid empirical evidence to construct a framework to aid in relative value judgments. Written by one of Wall Street's top analysts, "Valuing Fixed Income Futures" arms practitioners with expert accounts of the present trading landscape for futures; the nature of the futures market; Treasury futures; Eurodollar futures; Treasury/Eurodollar spreads; pricing options by mapping expected volatility; and much more.

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 edition

• Publisher: McGraw Hill
• Publication date: 2006
• ISBN 10: 0071475419
• ISBN 13: 9780071475419
• Binding: Hardcover
• Number of pages: 304