Für viele ist die Funktionsweise der Finanzmärkte undurchsichtig und rätselhaft. Dieses Buch schafft Klarheit. "The Price of Money" bietet eine praxisorientierte Einführung in die Grundlagen von Anleihen und festverzinslichen Wertpapieren für Anfänger und Neulinge. Autor Julian Wiseman erläutert Konzepte und Grundlagen anschaulich anhand von Beispielen aus der Praxis. Dabei kommt er mit einem Minimum an Mathematik aus und konzentriert sich vornehmlich auf die Preisbildung und das Handeln festverzinslicher Werpapiere, die für das Routinegeschäft am wichtigsten sind. Enthalten ist eine Übersicht…mehr
Für viele ist die Funktionsweise der Finanzmärkte undurchsichtig und rätselhaft. Dieses Buch schafft Klarheit. "The Price of Money" bietet eine praxisorientierte Einführung in die Grundlagen von Anleihen und festverzinslichen Wertpapieren für Anfänger und Neulinge. Autor Julian Wiseman erläutert Konzepte und Grundlagen anschaulich anhand von Beispielen aus der Praxis. Dabei kommt er mit einem Minimum an Mathematik aus und konzentriert sich vornehmlich auf die Preisbildung und das Handeln festverzinslicher Werpapiere, die für das Routinegeschäft am wichtigsten sind. Enthalten ist eine Übersicht mit den verwendeten Fachbegriffen, Regeln und Konventionen, Bewertungs- und Preisbildungsverfahren. "The Price of Money" ist ideal geeignet für Leser ohne Vorkenntnisse. Komplexe Themen werden einfach, verständlich und anhand einer Fülle von praktischem Beispielmaterial dargestellt. Eine unverzichtbare Lektüre für alle, die eine fundierte Einführung in Anleihen und Swaps suchen.Hinweis: Dieser Artikel kann nur an eine deutsche Lieferadresse ausgeliefert werden.
J.D.A. WISEMAN is a bond and swap trader at Credit Suisse First Boston, having previously been an analyst there and at J.P. Morgan. The author read mathematics at Queens' College, Cambridge, and lives in London.
Inhaltsangabe
Preface xiii Acknowledgements xv Part 1: A Beginner's Toolkit 1 1 Money markets 3 What is money? 3 Why there is a money market? 4 Choosing a maturity 6 Repo 7 Central-bank money-market operations 9 Two money markets 10 The euro 12 Writing money 13 Settlement details 15 Summary 16 2 Government bonds 17 Introduction 17 The concept of yield 18 Example yield calculations 19 Coupon and yield 22 The yield curve 23 Primary dealers 24 Government bond markets 24 Repo as part of the government-bond market 26 Accrued interest 27 Strips 27 Other tradable government debt 29 Non-government debt 31 Rating agencies 32 Summary 33 3 Futures 35 The gold miner's problem 35 The gold miner's solution 36 Contract specification 37 Credit and margin 38 Cash settlement 39 Cash-settling other contracts 40 The fixings 41 The 3-month interest rate future 43 Price action 44 The strip and TED spreads 46 Arbitrage 47 Some trading jargon 48 Summary 50 4 Swaps 51 Introduction 51 An example 53 Asset swaps 55 A typical swap in detail 56 Credit risk in swaps 58 Trading jargon 59 Swaps and interest rate futures 60 Myth and reality 61 Summary 62 5 Options 63 Introduction 63 Puts and calls 63 What is the option worth? 65 Combinations 66 Underlyings 66 Embedded options 67 Implied volatility 68 Summary 69 6 Foreign exchange 71 The basic rationale 71 Size and conventions 72 Forwards 72 Shake the dice 73 Summary 75 7 Players 77 Governments 77 Pseudo-government issuers 78 Non-Financial corporations 79 Pension funds 79 Insurers 81 Mutual funds 82 Hedge funds 83 Commercial banks 83 Mortgage lenders 85 Central banks 86 Private investors 87 Summary 87 8 People 89 Introduction 89 Proprietary traders 89 Market makers 91 Brokers 92 Salespeople 93 Researchers 94 Back office and middle office 94 Investment bankers 94 Summary 95 9 Price action 97 Why do prices move? 97 Necessity never made a good bargain 99 Stability and leverage 100 Fixed-income prices 101 A stylised crash in fixed income 103 Forwards, zeros and par yields 104 Trading the crash 108 Market irrationality 109 Summary 110 Part 2: More detail 111 10 Swaps revisited 113 Introduction 113 Credit risk in swaps 113 Reducing the credit risk 114 Cross-currency basis swaps 116 The price of a basis swap 117 A cross-currency issue 118 Reducing credit risk in basis swaps 121 Forward rate agreements 122 Summary 122 11 Non-government issuance 125 Introduction 125 Bringing a deal to market 126 The syndicate 128 Book-building: taking orders 129 Pricing a swapped deal 130 Pricing an unswapped deal 131 Some legal details 132 Free to trade 134 An example issue 135 Opportunistic reopenings 136 Summary 137 12 Yield, duration, repo and forward bond prices 139 Measuring risk 139 Yields: compounding frequencies 140 Duration continued 142 Definition of DV 01 144 How coupon affects duration and DV 01 144 An example yield curve 145 A 3s10s flattener 147 A flattener generates cash 148 A forward flattener 148 What happens if nothing happens? 149 Weighting the forward flattener 150 A barbell 151 Carry and slide 152 Summary 153 13 Bond futures 155 Introduction 155 Specification 156 Delivery day 157 The delivery process 158 Cheapest to deliver: at par 159 Cheapest to deliver: far from par 160 CTD calculations before delivery 161 Delivery tail 162 Summary 163 14 Basic fixed-income arithmetic 165 The proportion of a year 165 Yield to price and price to yield 167 Semi to annual: halve and square 167 Forward yield 168 Forward asset swap 168 Summary 168 Index 169
Preface xiii Acknowledgements xv Part 1: A Beginner's Toolkit 1 1 Money markets 3 What is money? 3 Why there is a money market? 4 Choosing a maturity 6 Repo 7 Central-bank money-market operations 9 Two money markets 10 The euro 12 Writing money 13 Settlement details 15 Summary 16 2 Government bonds 17 Introduction 17 The concept of yield 18 Example yield calculations 19 Coupon and yield 22 The yield curve 23 Primary dealers 24 Government bond markets 24 Repo as part of the government-bond market 26 Accrued interest 27 Strips 27 Other tradable government debt 29 Non-government debt 31 Rating agencies 32 Summary 33 3 Futures 35 The gold miner's problem 35 The gold miner's solution 36 Contract specification 37 Credit and margin 38 Cash settlement 39 Cash-settling other contracts 40 The fixings 41 The 3-month interest rate future 43 Price action 44 The strip and TED spreads 46 Arbitrage 47 Some trading jargon 48 Summary 50 4 Swaps 51 Introduction 51 An example 53 Asset swaps 55 A typical swap in detail 56 Credit risk in swaps 58 Trading jargon 59 Swaps and interest rate futures 60 Myth and reality 61 Summary 62 5 Options 63 Introduction 63 Puts and calls 63 What is the option worth? 65 Combinations 66 Underlyings 66 Embedded options 67 Implied volatility 68 Summary 69 6 Foreign exchange 71 The basic rationale 71 Size and conventions 72 Forwards 72 Shake the dice 73 Summary 75 7 Players 77 Governments 77 Pseudo-government issuers 78 Non-Financial corporations 79 Pension funds 79 Insurers 81 Mutual funds 82 Hedge funds 83 Commercial banks 83 Mortgage lenders 85 Central banks 86 Private investors 87 Summary 87 8 People 89 Introduction 89 Proprietary traders 89 Market makers 91 Brokers 92 Salespeople 93 Researchers 94 Back office and middle office 94 Investment bankers 94 Summary 95 9 Price action 97 Why do prices move? 97 Necessity never made a good bargain 99 Stability and leverage 100 Fixed-income prices 101 A stylised crash in fixed income 103 Forwards, zeros and par yields 104 Trading the crash 108 Market irrationality 109 Summary 110 Part 2: More detail 111 10 Swaps revisited 113 Introduction 113 Credit risk in swaps 113 Reducing the credit risk 114 Cross-currency basis swaps 116 The price of a basis swap 117 A cross-currency issue 118 Reducing credit risk in basis swaps 121 Forward rate agreements 122 Summary 122 11 Non-government issuance 125 Introduction 125 Bringing a deal to market 126 The syndicate 128 Book-building: taking orders 129 Pricing a swapped deal 130 Pricing an unswapped deal 131 Some legal details 132 Free to trade 134 An example issue 135 Opportunistic reopenings 136 Summary 137 12 Yield, duration, repo and forward bond prices 139 Measuring risk 139 Yields: compounding frequencies 140 Duration continued 142 Definition of DV 01 144 How coupon affects duration and DV 01 144 An example yield curve 145 A 3s10s flattener 147 A flattener generates cash 148 A forward flattener 148 What happens if nothing happens? 149 Weighting the forward flattener 150 A barbell 151 Carry and slide 152 Summary 153 13 Bond futures 155 Introduction 155 Specification 156 Delivery day 157 The delivery process 158 Cheapest to deliver: at par 159 Cheapest to deliver: far from par 160 CTD calculations before delivery 161 Delivery tail 162 Summary 163 14 Basic fixed-income arithmetic 165 The proportion of a year 165 Yield to price and price to yield 167 Semi to annual: halve and square 167 Forward yield 168 Forward asset swap 168 Summary 168 Index 169
Es gelten unsere Allgemeinen Geschäftsbedingungen: www.buecher.de/agb
Impressum
www.buecher.de ist ein Internetauftritt der buecher.de internetstores GmbH
Geschäftsführung: Monica Sawhney | Roland Kölbl | Günter Hilger
Sitz der Gesellschaft: Batheyer Straße 115 - 117, 58099 Hagen
Postanschrift: Bürgermeister-Wegele-Str. 12, 86167 Augsburg
Amtsgericht Hagen HRB 13257
Steuernummer: 321/5800/1497
USt-IdNr: DE450055826
