Arbitrage
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Fixed Income Arbitrage
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Author : M. Anthony Wong
language : en
Publisher: John Wiley & Sons
Release Date : 1993-08-30
Fixed Income Arbitrage written by M. Anthony Wong and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993-08-30 with Business & Economics categories.
An exposition to the world of relative-value trading in the fixed-income markets written by a leading-edge thinker and scientific analyst of global financial markets. Using concrete examples, he details profit opportunities--treasury bills, bonds, notes, interest-rate futures and options--explaining how to obtain virtually risk-free rewards if the proper knowledge and skills are applied. Discusses the critical success factors of relative-value trading and highlights the important role of technology, capital requirements and considerations in order to set up a fixed-income arbitrage system.
Absence Of Arbitrage Valuation
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Author : P. Glabadanidis
language : en
Publisher: Springer
Release Date : 2014-07-10
Absence Of Arbitrage Valuation written by P. Glabadanidis and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-07-10 with Business & Economics categories.
Absence of Arbitrage Valuation presents a unified asset pricing strategy through absence of arbitrage and applies this framework to such disparate fields as fixed income security pricing, foreign exchange spots, and forward rates.
Understanding Arbitrage
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Author : Randall Billingsley
language : en
Publisher: Pearson Education
Release Date : 2005-10-05
Understanding Arbitrage written by Randall Billingsley and has been published by Pearson Education this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-10-05 with Business & Economics categories.
Arbitrage is central both to corporate risk management and to a wide range of investment strategies. Thousands of financial executives, managers, and sophisticated investors want to understand it, but most books on arbitrage are far too abstract and technical to serve their needs. Billingsley addresses this untapped market with the first accessible and realistic guide to the concepts and modern practice of arbitrage. It relies on intuition, not advanced math: readers will find basic algebra sufficient to understand it and begin using its methods. The author starts with a lucid introduction to the fundamentals of arbitrage, including the Laws of One Price and One Expected Return. Using realistic examples, he shows how to identify assets and portfolios ripe for exploitation: mispriced commodities, securities, misvalued currencies; interest rate differences; and more. You'll learn how to establish relative prices between underlying stock, puts, calls, and 'riskless' securities like Treasury bills -- and how these techniques support derivatives pricing and hedging. Billingsley then illuminates options pricing, the heart of modern risk management and financial engineering. He concludes with an accessible introduction to the Nobel-winning Modigliani-Miller theory, and its use in analyzing capital structure.
Merger Arbitrage
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Author : Thomas Kirchner
language : en
Publisher: John Wiley & Sons
Release Date : 2016-04-18
Merger Arbitrage written by Thomas Kirchner and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-04-18 with Business & Economics categories.
Mitigate risk and increase returns with an alternative hedge fund strategy Merger Arbitrage: How to Profit from Event-Driven Arbitrage, Second Edition is the definitive guide to the ins and outs of the burgeoning merger arbitrage hedge fund strategy, with real-world examples that illustrate how mergers work and how to take advantage of them. Author Thomas Kirchner, founder of the Pennsylvania Avenue Event-Driven Fund, discusses the factors that drove him to invest solely in merger arbitrage and other event-driven strategies, and details the methods used to incorporate merger arbitrage into traditional investment strategies. And while there is always a risk that a deal will fall through, the book explains how minimal such risks really are when the potential upside is factored in. Early chapters of the book focus on the basics of the merger arbitrage strategy, including an examination of mergers and the incorporation of risk into the arbitrage decision. Following chapters detail deal structures, financing, and legal aspects to provide the type of in-depth knowledge required to execute an effective investment strategy. The updated second edition stresses new, increasingly relevant information like: Worldwide legal deal regimes UK takeover code UK takeover code global offspring Regulators around the world The book provides clear, concise guidance on critical considerations including leverage and options, shorting stocks, and legal recourse for inadequate merger consideration, allowing readers to feel confident about trying a new investment strategy. With simple benefits including diversification of risk and return streams, this alternative hedge fund strategy has a place in even the most traditional plan. Merger Arbitrage: How to Profit from Event-Driven Arbitrage, Second Edition provides the information that gives investors an edge in the merger arbitrage arena.
Arbitrage Theory In Continuous Time
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Author : Tomas Bjork
language : en
Publisher: Oxford University Press, USA
Release Date : 2020-01-16
Arbitrage Theory In Continuous Time written by Tomas Bjork and has been published by Oxford University Press, USA this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-01-16 with Arbitrage categories.
The fourth edition of this widely used textbook on pricing and hedging of financial derivatives now also includes dynamic equilibrium theory and continues to combine sound mathematical principles with economic applications. Concentrating on the probabilistic theory of continuous time arbitrage pricing of financial derivatives, including stochastic optimal control theory and optimal stopping theory, Arbitrage Theory in Continuous Time is designed for graduate students in economics and mathematics, and combines the necessary mathematical background with a solid economic focus. It includes a solved example for every new technique presented, contains numerous exercises, and suggests further reading in each chapter. All concepts and ideas are discussed, not only from a mathematics point of view, but with lots of intuitive economic arguments. In the substantially extended fourth edition Tomas Bjork has added completely new chapters on incomplete markets, treating such topics as the Esscher transform, the minimal martingale measure, f-divergences, optimal investment theory for incomplete markets, and good deal bounds. This edition includes an entirely new section presenting dynamic equilibrium theory, covering unit net supply endowments models and the Cox-Ingersoll-Ross equilibrium factor model. Providing two full treatments of arbitrage theory-the classical delta hedging approach and the modern martingale approach-this book is written so that these approaches can be studied independently of each other, thus providing the less mathematically-oriented reader with a self-contained introduction to arbitrage theory and equilibrium theory, while at the same time allowing the more advanced student to see the full theory in action. This textbook is a natural choice for graduate students and advanced undergraduates studying finance and an invaluable introduction to mathematical finance for mathematicians and professionals in the market.
Inside Volatility Arbitrage
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Author : Alireza Javaheri
language : en
Publisher: John Wiley & Sons
Release Date : 2011-08-24
Inside Volatility Arbitrage written by Alireza Javaheri and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-08-24 with Business & Economics categories.
Today?s traders want to know when volatility is a sign that the sky is falling (and they should stay out of the market), and when it is a sign of a possible trading opportunity. Inside Volatility Arbitrage can help them do this. Author and financial expert Alireza Javaheri uses the classic approach to evaluating volatility -- time series and financial econometrics -- in a way that he believes is superior to methods presently used by market participants. He also suggests that there may be "skewness" trading opportunities that can be used to trade the markets more profitably. Filled with in-depth insight and expert advice, Inside Volatility Arbitrage will help traders discover when "skewness" may present valuable trading opportunities as well as why it can be so profitable.
Market Consistent Prices
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Author : Pablo Koch-Medina
language : en
Publisher: Springer Nature
Release Date : 2020-07-16
Market Consistent Prices written by Pablo Koch-Medina and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-07-16 with Mathematics categories.
Arbitrage Theory provides the foundation for the pricing of financial derivatives and has become indispensable in both financial theory and financial practice. This textbook offers a rigorous and comprehensive introduction to the mathematics of arbitrage pricing in a discrete-time, finite-state economy in which a finite number of securities are traded. In a first step, various versions of the Fundamental Theorem of Asset Pricing, i.e., characterizations of when a market does not admit arbitrage opportunities, are proved. The book then focuses on incomplete markets where the main concern is to obtain a precise description of the set of “market-consistent” prices for nontraded financial contracts, i.e. the set of prices at which such contracts could be transacted between rational agents. Both European-type and American-type contracts are considered. A distinguishing feature of this book is its emphasis on market-consistent prices and a systematic description of pricing rules, also at intermediate dates. The benefits of this approach are most evident in the treatment of American options, which is novel in terms of both the presentation and the scope, while also presenting new results. The focus on discrete-time, finite-state models makes it possible to cover all relevant topics while requiring only a moderate mathematical background on the part of the reader. The book will appeal to mathematical finance and financial economics students seeking an elementary but rigorous introduction to the subject; mathematics and physics students looking for an opportunity to get acquainted with a modern applied topic; and mathematicians, physicists and quantitatively inclined economists working or planning to work in the financial industry.
The Mathematics Of Arbitrage
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Author : Freddy Delbaen
language : en
Publisher: Springer Science & Business Media
Release Date : 2006-02-14
The Mathematics Of Arbitrage written by Freddy Delbaen and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-02-14 with Mathematics categories.
Proof of the "Fundamental Theorem of Asset Pricing" in its general form by Delbaen and Schachermayer was a milestone in the history of modern mathematical finance and now forms the cornerstone of this book. Puts into book format a series of major results due mostly to the authors of this book. Embeds highest-level research results into a treatment amenable to graduate students, with introductory, explanatory background. Awaited in the quantitative finance community.
Arbitrage Hedging And Speculation
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Author : Ephraim Clark
language : en
Publisher: Bloomsbury Publishing USA
Release Date : 2004-04-30
Arbitrage Hedging And Speculation written by Ephraim Clark and has been published by Bloomsbury Publishing USA this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-04-30 with Business & Economics categories.
Explains arbitrage, hedging, and speculation from the standpoint of a participant in the foreign exchange market—whether an individual trader or an institutional trader—who possesses analytical skill, economically sound judgment, and who has access to market data. In the foreign exchange market, arbitrage involves the simultaneous purchase and sale of a currency in different markets; the profit comes from the difference in the buying and selling prices. Hedging and speculation are opposing strategies for dealing with risk; hedging is a cover, and speculation is an assumption of risk. Authors also discuss futures, swaps, forward contracts, and other strategies. For financial scholars, students, analysts, and currency traders.
Arbitrage
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Author : Rudi Weisweiller
language : en
Publisher: John Wiley & Sons
Release Date : 1986
Arbitrage written by Rudi Weisweiller and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 1986 with Arbitrage categories.
Describes the meaning and history of arbitrage as it examines the theory behind interest and stock arbitrage in the different markets, such as fianancial futures, options and gold. Covers commodity trading in varying currencies and interest rates and currency swaps. Shows how to trade currencies or deposits in two or more investment markets, thus taking advantage of price differences in various markets.