The Complete Arbitrage Deskbook

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McGraw Hill Professional, 21 de maig 2001 - 508 pàgines
The Complete Arbitrage Deskbook explains every aspect of the types, instruments, trading practices, and opportunities of modern equity arbitrage. It travels beyond U.S. borders to examine the worldwide opportunities inherent in arbitrage activities and demonstrates how to understand and practice equity arbitrage in the global professional environment. Written specifically for traders, risk managers, brokers, regulators, and anyone looking for a comprehensive overview of the field of equity arbitrage, this groundbreaking reference provides:  Details of the financial instruments used in equity arbitrage—stocks, futures, money markets, and indices  Explanations of financial valuation and risk analysis, tailored to the characteristics of the underlying position and market environment  Examples of actual arbitrage situations—presenting a real-life snapshot of equity arbitrage in action The Complete Arbitrage Deskbook is the only book to combine operational details with practical analysis of modern equity arbitrage. Concise in explanation yet comprehensive in scope, it provides an integrated overview of both the practices and the possibilities of the modern equity arbitrage marketplace.
 

Continguts

Part II Financial Valuation and Risk Analysis
265
Part III Common Arbitrage Situations
369
Index
499
About the Author
509
Copyright

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Pàgina 182 - other reporting dealers. Gross market values have been calculated as the sum of the total gross positive market value of contracts and the absolute value of the gross negative market value of contracts with non-reporting counterparties.
Pàgina 115 - CBOE: Chicago Board Options Exchange; CBOT: Chicago Board of Trade; CME: Chicago Mercantile Exchange; LIFFE: London International Financial Futures and Options Exchange;
Pàgina 431 - from international financial institutions such as the International Monetary Fund (IMF), and the
Pàgina 6 - the simultaneous purchase and sale of the same, or essentially similar, security in two different markets for advantageously different prices.
Pàgina 116 - Futures—Average Month-End Open Interest, Number of Contracts Traded, and Number of Contracts Settled by Delivery or Cash Settlement by Major Groups, All Markets Combined,
Pàgina 323 - the Basle Committee on Banking Supervision of the Bank of International Settlements (BIS)
Pàgina 130 - (London time) on the Last Trading Day. Of the 81 measured values, the highest 12 and lowest 12 will be discarded and the remaining 57 will be
Pàgina 8 - The Separation of Banking and Commerce in the United States: An Examination of Principal Issues,
Pàgina 94 - study of the process and outcomes of exchanging assets under explicit trading rules.
Pàgina 182 - Gross market values after taking into account legally enforceable bilateral netting agreements. Sources:

Sobre l'autor (2001)

Stephane Reverre works for Leading Market Technologies, specializing in analytical tools for institutional investors. He is the former head of index arbitrage and quantitative trading for the Tokyo and later New York offices of Société Générale, one of the largest French banks and a leader in the field of equity derivative trading. A graduate of École Central in Paris as well as the Harvard Business School MBA program, Reverre has provided consulting services for software and trading companies and has published numerous articles on equity arbitrage in specialized magazines and publications.

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