Random Walks in Fixed Income and Foreign Exchange : : Unexpected Discoveries in Issuance, Investment and Hedging of Yield Curve Instruments / / Jessica James, Michael Leister, Christoph Rieger.

• Superior document: Title is part of eBook package: De Gruyter DG Ebook Package English 2021
• VerfasserIn: James, Jessica,; Leister, Michael,; Rieger, Christoph,
• Place / Publishing House: Berlin ;, Boston : : De Gruyter, , [2021]; ©2021
• Year of Publication: 2021
• Language: English
• Series: The Moorad Choudhry Global Banking Series ,
• Physical Description: 1 online resource (XIV, 182 p.)

The fixed income and foreign exchange (FX) markets have never been as challenging to operate in as they are today. The post-crash combination of reduced liquidity, higher operating costs, low interest rates, flat yield curves and increased regulation means that market makers and investors alike need to work harder to generate value and remain in full understanding of the markets. Random Walks in Fixed Income and Foreign Exchange brings together the best of detailed and original practitioner-orientated market research on many specialist areas of the bond and FX markets. Written by the highly regarded FX and bonds research desk at Commerzbank, the book offers varied and in-depth insight into specific topics of vital important to dealers and investors, including the cross-currency basis and hedging, the yield curve, and overseas issuance conversion factors which will give investors a genuine edge in generating value. Written in accessible text, it is a must-read for all those interested in bonds and FX.

Table of Contents

Frontmatter -- Advance Praise for Random Walks in Fixed Income and Foreign Exchange -- Foreword -- Contents -- Preface -- Chapter 1 What Really is the Cross-Currency Basis? -- Chapter 2 XVA and the Cross-Currency Basis -- Chapter 3 Calculating Novel Cross-Currency Bases and FX Hedged Pickups -- Chapter 4 FX Hedging of Fixed Income – What is the Best Way? -- Chapter 5 Introducing the Conversion Factor -- Chapter 6 An Empirical Method of Calculating the Term Premium -- Chapter 7 An Update of the Term Premium Calculation -- Chapter 8 Forward Curves, Duration and Convexity -- Chapter 9 Implied vs Realised Convexity -- List of Figures -- List of Tables -- About the Authors -- References -- Index