An Arbitrage Guide to Financial Markets

Robert Dubil

336 pages, parution le 20/08/2004

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Résumé

An Arbitrage Guide to Financial Markets is the first book to explicitly show the linkages of markets for equities, currencies, fixed income and commodities. Using a unique structural approach, it dissects all markets the same way: into spot, forward and contingent dimensions, bringing out the simplicity and the commonalities of all markets. The book shuns stochastic calculus in favor of cash flow details of arbitrage trades. All math is simple, but there is lots of it. The book reflects the relative value mentality of an institutional trader seeking profit from misalignments of various market segments.

The book is aimed at entrants into investment banking and dealing businesses, existing personnel in non-trading jobs, and people outside of the financial services industry trying to gain a view into what drives dealers in today's highly integrated marketplace. A committed reader is guaranteed to leave with a deep understanding of all current issues.

L'auteur - Robert Dubil

ROBERT DUBIL is a former Director of Risk Analytics in the Corporate Risk Management Group at Merrill Lynch (1999-2001), head of Exotic Fixed Income Derivatives Trading at UBS (1996-99) and Chase Manhattan (1994-95), an equity and debt derivatives trader at Merrill Lynch (1992-94), and a quantitative researcher at Nomura (1990-92) and JP Morgan (1989-90). He worked in New York, London, Tokyo, Hong Kong and Sydney. He holds a PhD and MBA from University of Connecticut, and an MA from Wharton. His recent articles covering liquidity risks and banking regulation can be found in the ''Journal of Applied Finance, Financial Services Review, Journal of Entrepreneurial Finance and Business Ventures, Journal of Wealth Management and the Journal of Investing''. He is currently Associate Professor of Finance at San Jose State University in California.

Sommaire

1. The Purpose and Structure of Financial Markets
PART ONE: SPOT
- 2. Financial Math I-Spot
- 3. Fixed Income Securities
- 4. Equities, Currencies, and Commodities
- 5. Spot Relative Value Trades
PART TWO: FORWARDS
- 6. Financial Math II-Futures and Forwards
- 7. Spot-Forward Arbitrage
- 8. Swap Markets
PART THREE: OPTIONS
- 9. Financial Math III-Options
- 10. Option Arbitrage
- APPENDIX: CREDIT RISK

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Wiley
Auteur(s)	Robert Dubil
Parution	20/08/2004
Nb. de pages	336
Format	17 x 25
Couverture	Relié
Poids	730g
Intérieur	Noir et Blanc
EAN13	9780470853320
ISBN13	978-0-470-85332-0