Table Of Content

7700++ DDVVDD’’ss FFOORR SSAALLEE && EEXXCCHHAANNGGEE wwwwww..ttrraaddeerrss--ssooffttwwaarree..ccoomm wwwwww..ffoorreexx--wwaarreezz..ccoomm wwwwww..ttrraaddiinngg--ssooffttwwaarree--ccoolllleeccttiioonn..ccoomm wwwwww..ttrraaddeessttaattiioonn--ddoowwnnllooaadd--ffrreeee..ccoomm CCoonnttaaccttss aannddrreeyybbbbrrvv@@ggmmaaiill..ccoomm aannddrreeyybbbbrrvv@@yyaannddeexx..rruu SSkkyyppee:: aannddrreeyybbbbrrvv _________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________ An Arbitrage Guide to Financial Markets ____________ ____________ Robert Dubil _________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________ An Arbitrage Guide to Financial Markets ____________ ____________ Wiley Finance Series HedgeFunds:QuantitativeInsights Franc¸ois-SergeLhabitant ACurrencyOptionsPrimer ShaniShamah NewRiskMeasuresinInvestmentandRegulation GiorgioSzego¨ (Editor) ModellingPricesinCompetitiveElectricityMarkets DerekBunn(Editor) Inflation-indexedSecurities:Bonds,SwapsandOtherDerivatives,2ndEdition MarkDeacon,AndrewDerryandDariushMirfendereski EuropeanFixedIncomeMarkets:Money,BondandInterestRates JonathanBatten,ThomasFetherstonandPeterSzilagyi(Editors) GlobalSecuritisationandCDOs JohnDeacon AppliedQuantitativeMethodsforTradingandInvestment ChristianL.Dunis,JasonLawsandPatrickNaim(Editors) CountryRiskAssessment:AGuidetoGlobalInvestmentStrategy MichelHenryBouchet,EphraimClarkandBertrandGroslambert CreditDerivativesPricingModels:Models,PricingandImplementation PhilippJ.Scho¨nbucher HedgeFunds:AResourceforInvestors SimoneBorla AForeignExchangePrimer ShaniShamah TheSimpleRules:RevisitingtheArtofFinancialRiskManagement ErikBanks OptionTheory PeterJames Risk-adjustedLendingConditions WernerRosenberger MeasuringMarketRisk KevinDowd AnIntroductiontoMarketRiskManagement KevinDowd BehaviouralFinance JamesMontier AssetManagement:EquitiesDemystified ShantaAcharya AnIntroductiontoCapitalMarkets:Products,Strategies,Participants AndrewM.Chisholm HedgeFunds:MythsandLimits Franc¸ois-SergeLhabitant TheManager’sConciseGuidetoRisk JihadS.Nader SecuritiesOperations:AGuidetoTradeandPositionManagement MichaelSimmons Modeling,MeasuringandHedgingOperationalRisk MarceloCruz MonteCarloMethodsinFinance PeterJa¨ckel BuildingandUsingDynamicInterestRateModels KenKortanekandVladimirMedvedev StructuredEquityDerivatives:TheDefinitiveGuidetoExoticOptionsandStructuredNotes HarryKat AdvancedModellinginFinanceUsingExcelandVBA MaryJacksonandMikeStaunton OperationalRisk:MeasurementandModelling JackKing InterestRateModelling JessicaJamesandNickWebber _________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________ An Arbitrage Guide to Financial Markets ____________ ____________ Robert Dubil Copyright#2004JohnWiley&SonsLtd,TheAtrium,SouthernGate,Chichester, WestSussexPO198SQ,England Telephone(þ44)1243779777 Email(forordersandcustomerserviceenquiries):[email protected] VisitourHomePageonwww.wileyeurope.comorwww.wiley.com AllRightsReserved.Nopartofthispublicationmaybereproduced,storedinaretrieval systemortransmittedinanyformorbyanymeans,electronic,mechanical,photocopying, recording,scanningorotherwise,exceptunderthetermsoftheCopyright,Designsand PatentsAct1988orunderthetermsofalicenceissuedbytheCopyrightLicensingAgency Ltd,90TottenhamCourtRoad,LondonW1T4LP,UK,withoutthepermissioninwritingof thePublisher.RequeststothePublishershouldbeaddressedtothePermissionsDepartment, JohnWiley&SonsLtd,TheAtrium,SouthernGate,Chichester,WestSussexPO198SQ, England,[email protected],orfaxedto(þ44)1243770620. Designationsusedbycompaniestodistinguishtheirproductsareoftenclaimedas trademarks.Allbrandnamesandproductnamesusedinthisbookaretradenames,service marks,trademarksorregisteredtrademarksoftheirrespectiveowners.ThePublisherisnot associatedwithanyproductorvendormentionedinthisbook. Thispublicationisdesignedtoprovideaccurateandauthoritativeinformationinregardto thesubjectmattercovered.ItissoldontheunderstandingthatthePublisherisnotengaged inrenderingprofessionalservices.Ifprofessionaladviceorotherexpertassistanceisrequired, theservicesofacompetentprofessionalshouldbesought. OtherWileyEditorialOffices JohnWiley&SonsInc.,111RiverStreet,Hoboken,NJ07030,USA Jossey-Bass,989MarketStreet,SanFrancisco,CA94103-1741,USA Wiley-VCHVerlagGmbH,Boschstr.12,D-69469Weinheim,Germany JohnWiley&SonsAustraliaLtd,33ParkRoad,Milton,Queensland4064,Australia John Wiley & Sons (Asia) Pte Ltd, 2 Clementi Loop #02-01, JinXing Distripark, Singapore 129809 JohnWiley&SonsCanadaLtd,22WorcesterRoad,Etobicoke,Ontario,CanadaM9W1L1 Wileyalsopublishesitsbooksinavarietyofelectronicformats.Somecontentthatappears inprintmaynotbeavailableinelectronicbooks. LibraryofCongressCataloging-in-PublicationData Dubil,Robert. Anarbitrageguidetofinancialmarkets/RobertDubil. p.cm.—(Wileyfinanceseries) Includesbibliographicalreferencesandindexes. ISBN0-470-85332-8(cloth:alk.paper) 1.Investments—Mathematics.. 2.Arbitrage. 3.Risk. I.Title. II.Series. HG4515.3.D82004 332.6—dc22 2004010303 BritishLibraryCataloguinginPublicationData AcataloguerecordforthisbookisavailablefromtheBritishLibrary ISBN0-470-85332-8 ProjectmanagementbyOriginator,GtYarmouth,Norfolk(typesetin10/12ptTimes) PrintedandboundinGreatBritainbyT.J.InternationalLtd,Padstow,Cornwall Thisbookisprintedonacid-freepaperresponsiblymanufacturedfromsustainableforestry inwhichatleasttwotreesareplantedforeachoneusedforpaperproduction. To Britt, Elsa, and Ethan

Description:
An arbitrage guide to financial markets / Robert Dubil. p. cm. futures vs. stock baskets, fixed coupon stripping in bonds, triangular arbitrage in.
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347 Pages·2006·3.28 MB·English
by  Robert Dubil
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7700++ DDVVDD’’ss FFOORR SSAALLEE && EEXXCCHHAANNGGEE wwwwww..ttrraaddeerrss--ssooffttwwaarree..ccoomm wwwwww..ffoorreexx--wwaarreezz..ccoomm wwwwww..ttrraaddiinngg--ssooffttwwaarree--ccoolllleeccttiioonn..ccoomm wwwwww..ttrraaddeessttaattiioonn--ddoowwnnllooaadd--ffrreeee..ccoomm CCoonnttaaccttss aannddrreeyybbbbrrvv@@ggmmaaiill..ccoomm aannddrreeyybbbbrrvv@@yyaannddeexx..rruu SSkkyyppee:: aannddrreeyybbbbrrvv _________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________ An Arbitrage Guide to Financial Markets ____________ ____________ Robert Dubil _________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________ An Arbitrage Guide to Financial Markets ____________ ____________ Wiley Finance Series HedgeFunds:QuantitativeInsights Franc¸ois-SergeLhabitant ACurrencyOptionsPrimer ShaniShamah NewRiskMeasuresinInvestmentandRegulation GiorgioSzego¨ (Editor) ModellingPricesinCompetitiveElectricityMarkets DerekBunn(Editor) Inflation-indexedSecurities:Bonds,SwapsandOtherDerivatives,2ndEdition MarkDeacon,AndrewDerryandDariushMirfendereski EuropeanFixedIncomeMarkets:Money,BondandInterestRates JonathanBatten,ThomasFetherstonandPeterSzilagyi(Editors) GlobalSecuritisationandCDOs JohnDeacon AppliedQuantitativeMethodsforTradingandInvestment ChristianL.Dunis,JasonLawsandPatrickNaim(Editors) CountryRiskAssessment:AGuidetoGlobalInvestmentStrategy MichelHenryBouchet,EphraimClarkandBertrandGroslambert CreditDerivativesPricingModels:Models,PricingandImplementation PhilippJ.Scho¨nbucher HedgeFunds:AResourceforInvestors SimoneBorla AForeignExchangePrimer ShaniShamah TheSimpleRules:RevisitingtheArtofFinancialRiskManagement ErikBanks OptionTheory PeterJames Risk-adjustedLendingConditions WernerRosenberger MeasuringMarketRisk KevinDowd AnIntroductiontoMarketRiskManagement KevinDowd BehaviouralFinance JamesMontier AssetManagement:EquitiesDemystified ShantaAcharya AnIntroductiontoCapitalMarkets:Products,Strategies,Participants AndrewM.Chisholm HedgeFunds:MythsandLimits Franc¸ois-SergeLhabitant TheManager’sConciseGuidetoRisk JihadS.Nader SecuritiesOperations:AGuidetoTradeandPositionManagement MichaelSimmons Modeling,MeasuringandHedgingOperationalRisk MarceloCruz MonteCarloMethodsinFinance PeterJa¨ckel BuildingandUsingDynamicInterestRateModels KenKortanekandVladimirMedvedev StructuredEquityDerivatives:TheDefinitiveGuidetoExoticOptionsandStructuredNotes HarryKat AdvancedModellinginFinanceUsingExcelandVBA MaryJacksonandMikeStaunton OperationalRisk:MeasurementandModelling JackKing InterestRateModelling JessicaJamesandNickWebber _________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________ An Arbitrage Guide to Financial Markets ____________ ____________ Robert Dubil Copyright#2004JohnWiley&SonsLtd,TheAtrium,SouthernGate,Chichester, WestSussexPO198SQ,England Telephone(þ44)1243779777 Email(forordersandcustomerserviceenquiries):[email protected] VisitourHomePageonwww.wileyeurope.comorwww.wiley.com AllRightsReserved.Nopartofthispublicationmaybereproduced,storedinaretrieval systemortransmittedinanyformorbyanymeans,electronic,mechanical,photocopying, recording,scanningorotherwise,exceptunderthetermsoftheCopyright,Designsand PatentsAct1988orunderthetermsofalicenceissuedbytheCopyrightLicensingAgency Ltd,90TottenhamCourtRoad,LondonW1T4LP,UK,withoutthepermissioninwritingof thePublisher.RequeststothePublishershouldbeaddressedtothePermissionsDepartment, JohnWiley&SonsLtd,TheAtrium,SouthernGate,Chichester,WestSussexPO198SQ, England,[email protected],orfaxedto(þ44)1243770620. Designationsusedbycompaniestodistinguishtheirproductsareoftenclaimedas trademarks.Allbrandnamesandproductnamesusedinthisbookaretradenames,service marks,trademarksorregisteredtrademarksoftheirrespectiveowners.ThePublisherisnot associatedwithanyproductorvendormentionedinthisbook. Thispublicationisdesignedtoprovideaccurateandauthoritativeinformationinregardto thesubjectmattercovered.ItissoldontheunderstandingthatthePublisherisnotengaged inrenderingprofessionalservices.Ifprofessionaladviceorotherexpertassistanceisrequired, theservicesofacompetentprofessionalshouldbesought. OtherWileyEditorialOffices JohnWiley&SonsInc.,111RiverStreet,Hoboken,NJ07030,USA Jossey-Bass,989MarketStreet,SanFrancisco,CA94103-1741,USA Wiley-VCHVerlagGmbH,Boschstr.12,D-69469Weinheim,Germany JohnWiley&SonsAustraliaLtd,33ParkRoad,Milton,Queensland4064,Australia John Wiley & Sons (Asia) Pte Ltd, 2 Clementi Loop #02-01, JinXing Distripark, Singapore 129809 JohnWiley&SonsCanadaLtd,22WorcesterRoad,Etobicoke,Ontario,CanadaM9W1L1 Wileyalsopublishesitsbooksinavarietyofelectronicformats.Somecontentthatappears inprintmaynotbeavailableinelectronicbooks. LibraryofCongressCataloging-in-PublicationData Dubil,Robert. Anarbitrageguidetofinancialmarkets/RobertDubil. p.cm.—(Wileyfinanceseries) Includesbibliographicalreferencesandindexes. ISBN0-470-85332-8(cloth:alk.paper) 1.Investments—Mathematics.. 2.Arbitrage. 3.Risk. I.Title. II.Series. HG4515.3.D82004 332.6—dc22 2004010303 BritishLibraryCataloguinginPublicationData AcataloguerecordforthisbookisavailablefromtheBritishLibrary ISBN0-470-85332-8 ProjectmanagementbyOriginator,GtYarmouth,Norfolk(typesetin10/12ptTimes) PrintedandboundinGreatBritainbyT.J.InternationalLtd,Padstow,Cornwall Thisbookisprintedonacid-freepaperresponsiblymanufacturedfromsustainableforestry inwhichatleasttwotreesareplantedforeachoneusedforpaperproduction. To Britt, Elsa, and Ethan

Description:
An arbitrage guide to financial markets / Robert Dubil. p. cm. futures vs. stock baskets, fixed coupon stripping in bonds, triangular arbitrage in.
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