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Random Walks in Fixed Income and Foreign Exchange : Unexpected Discoveries in Issuance, Investment and Hedging of Yield Curve Instruments / Jessica James, Michael Leister, and Christoph Rieger.
- Format:
- Book
- Author/Creator:
- James, Jessica, 1968- author.
- Leister, Michael, author.
- Rieger, Christoph, author.
- Series:
- Moorad Choudhry global banking series
- The Moorad Choudhry Global Banking Series
- Language:
- English
- Subjects (All):
- Fixed-income securities.
- Foreign exchange.
- Physical Description:
- 1 online resource (XIV, 182 pages).
- polychrome
- Place of Publication:
- Berlin ; Boston : De Gruyter, [2021]
- Language Note:
- In English.
- System Details:
- text file PDF
- 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
- Notes:
- Electronic reproduction. Berlin Available via World Wide Web.
- Description based on online resource; title from digital title page (viewed on July 29, 2021).
- Other Format:
- Print version: Random Walks in Fixed Income and Foreign Exchange :.
- ISBN:
- 9783110688733
- 3110688735
- Publisher Number:
- 40030651808
- Access Restriction:
- Restricted for use by site license.
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