Valuing Fixed Income Futures by Boberski, David;

Series: McGraw-Hill Library of Investment and Finance;

GET 10% OFF
The discount is only available for 'Alert of Favourite Topics' newsletter recipients.

Publisher's listprice GBP 63.99
The price is estimated because at the time of ordering we do not know what conversion rates will apply to HUF / product currency when the book arrives. In case HUF is weaker, the price increases slightly, in case HUF is stronger, the price goes lower slightly.

28 891 Ft (27 515 Ft + 5% VAT)
Discount 10% (cc. 2 889 Ft off)
Discounted price 26 002 Ft (24 764 Ft + 5% VAT)

28 891 Ft

Availability

cancelled

Product details:

Publisher McGraw-Hill Education
Date of Publication 16 October 2006

ISBN 9780071475419
Binding Hardback
No. of pages304 pages
Size 231x154x23 mm
Weight 524 g
Language English

Long description:

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.