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Fixed-Income Synthetic Assets

Packaging, Pricing, and Trading Strategies for Financial Pr…
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Titel: Fixed-Income Synthetic Assets
Autor/en: Perry H. Beaumont

ISBN: 0471551627
EAN: 9780471551621
Packaging, Pricing, and Trading Strategies for Financial Professionals.
56:B&W 6. 14 x 9. 21in or 234 x 156mm (Royal 8vo) Gray Cloth w/Jacket on White w/Gloss Lam.
Sprache: Englisch.
John Wiley & Sons

3. September 1992 - gebunden - 324 Seiten

Fixed-income synthetic assets are fast becoming the investment vehicles of choice for an increasing number of astute financial professionals. Traders, arbitrageurs, speculators, as well as financial executives are increasingly involved with these new and dynamic products. Fixed-Income Synthetic Assets is the only professional guide to focus exclusively on packaging, pricing, and trading strategies for these complex securities. This authoritative sourcebook covers all fixed-income instruments including derivatives, floating rate notes, STRIPs, mortgage-backed securities, U.S. Treasuries, and much more. It delivers market-proven guidance for applying fixed-income strategies to key areas of finance such as risk management, option pricing and packaging, swaps and swaptions, and fundamental risk/return analysis. Fixed-Income Synthetic Assets begins with a concise overview of the fundamental building blocks used to create synthetic assets. Sophisticated valuation techniques are explored for calculating present value, forward and spot rates, and duration and convexity. A variety of synthetic structures are then considered among money market assets. Securities discussed include certificates of deposit, agency and municipal securities, mortgage-backed securities, Treasury Bill futures, Eurodollar futures, international money markets, and floating rate notes. From here, the guide moves further along the yield curve. Synthetic strategies are provided for a variety of notes and bonds, and modern portfolio theory is applied to the creation of synthetic fixed-income portfolios. The book concludes with a detailed review of the more innovative structures in the marketplace, including promising newcommodity- and equity-linked products. Throughout, Fixed-Income Synthetic Assets supplies a precise and lucid examination of financial engineering practices and strategies, supplemented by accurate, easy-to-follow formulas. Numerous charts and graphs add visual punch to importa
Partial table of contents: THE BUILDING BLOCKS OF SYNTHETIC ASSETS. Present Value, Compound Interest, and Total Returns. Forward Rates and Spot Rates. Duration and Convexity. SYNTHETIC MONEY MARKET SECURITIES. A Survey of Cash Money Market Securities. Repos, Reverse Repos, and Dollar Rolls. Treasury Bill Futures. Eurodollar Futures and International Money Markets. Floating Rate Notes. SYNTHETIC NOTES, BONDS, AND OPTIONS. Creating Duration. Creating Convexity. Creating Other Synthetic Assets. SYNTHETIC FIXED-INCOME PORTFOLIOS. Creating Portfolio Duration. Designing Portfolio Returns. VARIATIONS ON A THEME. Equity- and Commodity-Linked Securities. Synthetic Option Strategies. Appendices. Glossary. Index.
About the author PERRY H. BEAUMONT is Senior Vice-President at Lehman Brothers, where he specializes in strategy for all cash and derivative government securities including agencies. Prior to joining Lehman, Perry was Director for Risk Management, North America at Swiss Bank Corporation, and was previously Manager of Financial Futures research at Kidder, Peabody & Co. He holds a doctorate in economics from the University of Illinois at Urbana-Champaign, and is an adjunct professor at Fordham University in New York City.

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