Trading the Fixed Income, Inflation and Credit Markets

Neil C. Schofield 지음

Wiley 2011년 10월 03일 출간

작품소개

책소개

Trading 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 class there are mathematical relationships that tie together four key building blocks: cash products, forwards/futures, swaps and options. The nature of these interrelationships means that there may be a variety of different ways in which a particular strategy can be expressed. It then moves on to relative value within a fixed income context and looks at strategies that build on the pricing relationships between products as well as those that focus on how to identify the optimal way to express a view on the movement of the yield curve. It concludes by taking the main themes of relative value and showing how they can be applied within other asset classes. Although the main focus is fixed income the book does cover multiple asset classes including credit and inflation.Written from a practitioner's perspective, the book illustrates how the products are used by including many worked examples and a number of screenshots to ensure that the content is as practical and applied as possible.

목차

Preface xiiiAcknowledgements xvAbout the Authors xvii1 Product Fundamentals 11.1 Chapter Overview 11.2 Bond Fundamentals 11.2.1 Fixed income structures 11.2.2 Floating-rate notes 21.2.3 Inflation 21.3 Repurchase Agreements 51.4 Credit Fundamentals 71.5 Derivative Fundamentals 81.5.1 Futures 81.5.2 Forwards 91.5.3 Swaps 111.5.4 Vanilla options 181.5.5 Exotic options 212 Pricing Relationships 232.1 Relative Value 232.2 The Relative Value Triangle 232.3 Spot Pricing 242.3.1 Pricing fixed income securities 242.3.2 Par yield curves 272.3.3 Zero-coupon yield curves 272.3.4 Forward yield curves 302.3.5 Pricing floating-rate notes 362.3.6 Inflation pricing 372.3.7 Credit pricing 392.4 The Spot&~Forward Relationship 402.4.1 Fixed income 402.4.2 Credit markets 422.5 The Spot&~Swap Relationship 432.5.1 Pricing swaps &~ counterparty credit risk 462.6 The Forward&~Swap Relationship 492.7 Pricing Options&~Relationship With The Underlying Market 492.7.1 Black&~Scholes&~Merton: an intuitive approach 502.7.2 From closed-form to binomial pricing techniques 522.7.3 Monte Carlo simulation 552.7.4 Put&~call parity 56Appendix 2.1 Monetary Policy and Overnight Interest Rates 57Appendix 2.2 OIS Discounting 593 Market Risk Management 633.1 What Do We Mean By Risk? 633.2 Defining Market Risk 633.3 Spot Market Risk 643.3.1 Macaulay duration 643.3.2 Modified duration 653.3.3 Convexity 663.3.4 Dollar value of an 01 683.3.5 Market risk of a floating-rate note 693.3.6 Market risk of credit instruments 703.4 Forward Risk 723.4.1 Fixed income 733.4.2 Credit 733.5 Swap Market Risk 733.5.1 Spot swap risk 733.5.2 Carry and roll down 753.5.3 Application of DV01 753.5.4 Forward-starting swap risk 763.6 Option Risk Management 793.6.1 Delta 803.

인물정보

저자(글) Neil C. Schofield

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NEIL C. SCHOFIELD is the principal of FMT Ltd, a UK-based company offering training services in the areas of treasury, derivatives, capital markets and risk management to financial institutions, central banks and corporations worldwide. Neil was Global Head of Financial Markets Training at Barclays Capital from 2001 to 2008. He teaches primarily on the rates business, covering all of the major asset classes and their respective derivative products from foreign exchange through to commodities. Before joining Barclays Capital, he was a director at Chisholm-Roth Training for 4 years, where he was responsible for provision of training services for a number of blue chip global investment banks. Clients included Citigroup, Deutsche Bank, Goldman Sachs and JP Morgan Chase. He started his training career at Chase Manhattan Bank, where he was originally employed as an internal auditor. Over a period of nine years, he conducted numerous internal and external training seminars including the Bank of England and the Federal Reserve System in the USA. He has also held positions with Security Pacific Hoare Govett (now trading as Bank of America) and Lloyds TSB. Neil holds a B.Sc. in Economics from Loughborough University and an MBA from Manchester Business School. He was elected as a Fellow of the IFS School of Finance (formerly the Chartered Institute of Bankers) in 1999. Neil was appointed as a Visiting Fellow at the University of Reading ICMA centre in April, 2007. He is author of the book Commodity Derivatives: Markets and Applications published by John Wiley Sons, Ltd in October 2007.TROY BOWLER joined Barclays Capital in London in 2002 and is currently a Managing Director within Distribution, based in Singapore. Before joining Barclays Capital, he held positions at Deutsche Bank in London, where he was part of their highly-regarded global fixed income and relative value research team; PaineWebber; and Bank of Tokyo Capital Markets (UK), where he