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