The complete arbitrage deskbook:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
New York [u.a.]
McGraw-Hill
2001
|
| Series: | Irwin library of investment and finance
|
| Subjects: | |
| Online Access: | Contributor biographical information Publisher description Table of contents Inhaltsverzeichnis |
| Item Description: | Includes bibliographical references and index |
| Physical Description: | xv, 509 p. graph. Darst. 24 cm |
| ISBN: | 0071359958 |
Staff View
MARC
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| 245 | 1 | 0 | |a The complete arbitrage deskbook |c Stephane Reverre |
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Record in the Search Index
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| adam_text | Contents
Preface xiii
PARTI
THEORY AND TOOLS
1
Introduction 3
What Is Arbitrage? 3
Context 5
Different Types of Convergence 11
Arbitrage and Pricing 21
Valuations: Mark to Market versus Theoretical 27
Risk 29
Convergence Continuum 43
Other Examples 44
2
Stocks 63
Introduction 63
Definitions 64
Settlement 67
Cross Exchange Listing 72
Dividends 76
Fundamentals 82
Borrowing and Lending of Securities 83
viii Contents
Trading 91
Capital Structure: Outstanding Number of Shares 97
3
Futures and Related Instruments 107
Introduction 107
Definitions 110
Clearinghouses, Margin Calls, and Deposits 117
General Margin Call Formula 122
Customer Margin Calls Versus Exchange
Margin Calls 125
Standard Portfolio Analysis of Risk 126
Special Quotation Calculation and Convergence
Revisited 127
Final Settlements 130
Exposure versus Investment 130
Cross Listings 132
Trading 143
Other Forms of First Order Exposure 146
4
Money Markets 151
Introduction 151
Money Markets and Government Institutions 152
Interbank Markets and Interest Rates 153
Credit Risk 154
Overnight 155
Treasury Management versus Interest Rate Exposure 160
London Inter Bank Offered Rate 161
Domestic versus International Rates 163
Conventions 168
Notations 174
Settlement 175
Contents ix
Spread and Midmarket 175
Nonstandard Maturity 177
Interest Rate Swaps 177
Zero Coupon Term Structures 185
Forward Rate Agreements 194
Swap Pricing 197
Short Term Interest Rate Futures Contracts 202
Foreign Exchange Swaps and Forwards 217
Futures Revisited 221
Conclusion 227
5
Aggregate Indicators: Stock Indices 229
Introduction 229
Definitions 230
Major Indices 234
Sponsorship 239
Index Trading and Futures Hedging 244
Index Continuity 246
Correlations 262
Conclusion 264
PART II
FINANCIAL VALUATION AND RISK
ANALYSIS
6
Valuations 267
Introduction 267
Definitions 269
Principles 269
Instruments 283
X COVTFNTS
Costs and Fees 317
Cost of Capital 320
7
Risk Analysis 327
Introduction 327
Risk and Human Psychology 328
Principles 330
Market Risks 340
Value at Risk 359
Conclusion: The Leptokurtic Challenge 365
PART III
COMMON ARBITRAGE SITUATIONS
8
Index Arbitrage 371
Introduction 371
Absolute Convergence 373
Opportunities and Profitability 374
Risks 391
Conclusion 422
References 422
9
Risk Arbitrage 423
Introduction 423
Explicit Convergence 426
Opportunities and Profitability 427
Risks 433
Illustration 449
Conclusion 457
Contents xi
10
Pair Trading and Technical Trading 459
Introduction 459
Speculative Arbitrage 461
Opportunities and Profitability 463
Risks 468
Illustration 474
Conclusion 497
Index 499
|
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| id | DE-604.BV019986970 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T20:10:11Z |
| institution | BVB |
| isbn | 0071359958 |
| language | English |
| lccn | 00048945 |
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| owner | DE-473 DE-BY-UBG |
| owner_facet | DE-473 DE-BY-UBG |
| physical | xv, 509 p. graph. Darst. 24 cm |
| publishDate | 2001 |
| publishDateSearch | 2001 |
| publishDateSort | 2001 |
| publisher | McGraw-Hill |
| record_format | marc |
| series2 | Irwin library of investment and finance |
| spelling | Reverre, Stephane Verfasser aut The complete arbitrage deskbook Stephane Reverre New York [u.a.] McGraw-Hill 2001 xv, 509 p. graph. Darst. 24 cm txt rdacontent n rdamedia nc rdacarrier Irwin library of investment and finance Includes bibliographical references and index aArbitrage Arbitrage (DE-588)4002820-3 gnd rswk-swf Arbitrage (DE-588)4002820-3 s DE-604 http://www.loc.gov/catdir/bios/mh041/00048945.html Contributor biographical information http://www.loc.gov/catdir/description/mh021/00048945.html Publisher description http://www.loc.gov/catdir/toc/mh021/00048945.html Table of contents HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=013308949&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Reverre, Stephane The complete arbitrage deskbook aArbitrage Arbitrage (DE-588)4002820-3 gnd |
| subject_GND | (DE-588)4002820-3 |
| title | The complete arbitrage deskbook |
| title_auth | The complete arbitrage deskbook |
| title_exact_search | The complete arbitrage deskbook |
| title_full | The complete arbitrage deskbook Stephane Reverre |
| title_fullStr | The complete arbitrage deskbook Stephane Reverre |
| title_full_unstemmed | The complete arbitrage deskbook Stephane Reverre |
| title_short | The complete arbitrage deskbook |
| title_sort | the complete arbitrage deskbook |
| topic | aArbitrage Arbitrage (DE-588)4002820-3 gnd |
| topic_facet | aArbitrage Arbitrage |
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