Optimal Trading Strategies and Risk in the Government Bond Market PDF Download

Author: Hendrik Aaldrik Jan Koster
Publisher:
ISBN:
Category : Government securities
Languages : en
Pages : 376

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Author: Niklas Lachenicht
Publisher: GRIN Verlag
ISBN: 366844059X
Category : Mathematics
Languages : en
Pages : 89

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Book Description
Master's Thesis from the year 2015 in the subject Mathematics - Applied Mathematics, grade: 1,5, University of Hannover, language: English, abstract: This work discusses trading strategies with focus on the application in the government bond market. An arbitrage-free yield curve prediction model and a parametric estimation method are presented to form the basis of finding trading strategies. The arbitrage-free model is based on the Heath-Jarrow-Morton model. The parametric approach is the Dynamic Nelson-Siegel method. For the US Treasury yield curve the performance of both methods is tested and compared to each other. Moreover, portfolio optimization with respect to the conditional value at risk is illustrated. A smoothing technique and the Nesterov procedure are exhibited as efficient implementations of the linked portfolio selection problem. At last, it is shown in an example for US Treasuries how the estimated yield curve can be incorporated into portfolio optimization to derive trading strategies. --- In der vorliegende Arbeit wird gezeigt, wie Strategien für das Handeln von staatlichen Obligationen entwickelt werden können. Die Basis hierzu bilden ein arbitrage-freier Ansatz und ein parametrischer Ansatz, um die Zinskurve vorherzusagen. Der arbitrage-freie Ansatz basiert auf dem Heath-Jarrow-Morton Modell, der parametrische Ansatz ist die dynamische Nelson-Siegel Methode. Der praktische Nutzen beider Verfahren wird für US Staatsanleihen untersucht und einander gegenüber gestellt. Im Weiteren wird die Theorie der Portfolio Optimierung bezüglich des Conditional Value at Risks vorgestellt und zwei Verfahren zu dessen effizienten Implementierung erklärt. Schlussendlich wird an einem Beispiel für US Staatsanleihen gezeigt, wie die Methoden zur Zinsvorhersage in das Porfoliooptimierungsproblem mit einbezogen werden können, um Handelsstrategien zu entwickeln.

Author: Haimei Shao
Publisher:
ISBN:
Category : Bond market
Languages : en
Pages : 103

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Book Description
The world bond market is nearly twice as large as the equity market. The goal of this dissertation is to study the dynamics of bond price. Among the liquidity risk, interest rate risk and default risk, this dissertation will focus on the liquidity risk and trading strategy. Under the mathematical frame of stochastic control, we model price setting in U.S. bond markets where dealers have multiple instruments to smooth inventory imbalances. The difficulty in obtaining the optimal trading strategy is that the optimal strategy and value function depend on each other, and the corresponding HJB equation is nonlinear. To solve this problem, we derived an approximate optimal explicit trading strategy. The result shows that this trading strategy is better than the benchmark central symmetric trading strategy.

Author: Frank J. Fabozzi
Publisher: John Wiley & Sons
ISBN: 0471785768
Category : Business & Economics
Languages : en
Pages : 578

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Book Description
In order to effectively employ portfolio strategies that can control interest rate risk and/or enhance returns, you must understand the forces that drive bond markets, as well as the valuation and risk management practices of these complex securities. In Advanced Bond Portfolio Management, Frank Fabozzi, Lionel Martellini, and Philippe Priaulet have brought together more than thirty experienced bond market professionals to help you do just that. Divided into six comprehensive parts, Advanced Bond Portfolio Management will guide you through the state-of-the-art techniques used in the analysis of bonds and bond portfolio management. Topics covered include: General background information on fixed-income markets and bond portfolio strategies The design of a strategy benchmark Various aspects of fixed-income modeling that will provide key ingredients in the implementation of an efficient portfolio and risk management process Interest rate risk and credit risk management Risk factors involved in the management of an international bond portfolio Filled with in-depth insight and expert advice, Advanced Bond Portfolio Management is a valuable resource for anyone involved or interested in this important industry.

Author: Joseph Benning
Publisher: McGraw Hill Professional
ISBN: 0071719903
Category : Business & Economics
Languages : en
Pages : 14

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Book Description
This chapter comes from a book written by Joseph Benning, a Moody's Vice President and former Senior Economist at the Chicago Board of Trade. Trading Strategies for Capital Markets provides examples of successful trading strategies, guidance on when and why to use them, and revealing discussions of trading psychology and risk management. With his trademark lively and engaging style, Dr. Benning cuts through the complexities of the capital markets, making them accessible, practical, interesting, and easy to understand.

Author: Christina I. Ray
Publisher: McGraw-Hill Trade
ISBN:
Category : Business & Economics
Languages : en
Pages : 600

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Book Description
Corporate and federal debt has increased over 350% in the last four years, accompanied by an explosion in the use of complex derivative products. To cope with this new market, fixed income traders - and the tools and techniques they use - have become increasingly sophisticated. There is an urgent need for a high-quality reference book on managing interest rate risk and on the primary and secondary markets for the outstanding bonds worth trillions of dollars. The Bond Market is a thorough guide to the mechanics of the market for U.S. Treasury securities and their derivative products. It explains the art and science of trading bonds for maximum profit with controlled risk, and illustrates how the best traders apply sound theoretical techniques under battlefield conditions. This is a valuable resource for readers with no prior knowledge of the bond market, as well as those who want to enhance their understanding of bond theory with real-life trading tools and techniques. The Bond Market looks at the big picture while focusing on important details. Based on her extensive trading experience, Christina I. Ray covers bond market basics and bond trading strategies, and provides an overview of the bond trading business. This one-of-a-kind reference shows readers how traders use mathematics to construct positions, in bonds or their derivatives, suitable for different market conditions and their own market risks; how traders determine the value of different securities and answers the critical question: Is bond movement random or can it be forecast? and the consistent approaches used by long-lived traders that readers can apply quantitatively to analyze the risk-reward profile of any position.

Author: Lionel Martellini
Publisher: John Wiley & Sons
ISBN: 0470868228
Category : Business & Economics
Languages : en
Pages : 662

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Book Description
This textbook will be designed for fixed-income securities courses taught on MSc Finance and MBA courses. There is currently no suitable text that offers a 'Hull-type' book for the fixed income student market. This book aims to fill this need. The book will contain numerous worked examples, excel spreadsheets, with a building block approach throughout. A key feature of the book will be coverage of both traditional and alternative investment strategies in the fixed-income market, for example, the book will cover the modern strategies used by fixed-income hedge funds. The text will be supported by a set of PowerPoint slides for use by the lecturer First textbook designed for students written on fixed-income securities - a growing market Contains numerous worked examples throughout Includes coverage of important topics often omitted in other books i.e. deriving the zero yield curve, deriving credit spreads, hedging and also covers interest rate and credit derivatives

Author: Frank J. Fabozzi
Publisher: MIT Press
ISBN: 0262367424
Category : Business & Economics
Languages : en
Pages : 937

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Book Description
The updated edition of a widely used textbook that covers fundamental features of bonds, analytical techniques, and portfolio strategy. This new edition of a widely used textbook covers types of bonds and their key features, analytical techniques for valuing bonds and quantifying their exposure to changes in interest rates, and portfolio strategies for achieving a client’s objectives. It includes real-world examples and practical applications of principles as provided by third-party commercial vendors. This tenth edition has been substantially updated, with two new chapters covering the theory and history of interest rates and the issues associated with bond trading. Although all chapters have been updated, particularly those covering structured products, the chapters on international bonds and managing a corporate bond portfolio have been completely revised. The book covers the basic analytical framework necessary to understand the pricing of bonds and their investment characteristics; sectors of the debt market, including Treasury securities, corporate bonds, municipal bonds, and structured products (residential and commercial mortgage-backed securities and asset-backed securities); collective investment vehicles; methodologies for valuing bonds and derivatives; corporate bond credit risk; portfolio management, including the fundamental and quantitative approaches; and instruments that can be used to control portfolio risk.

Author: Johann Strauss
Publisher: Independently Published
ISBN:
Category : Business & Economics
Languages : en
Pages : 0

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Reactive Publishing Unlock the Secrets to Maximizing Your Bond Trading Returns with Expert Hayden Van Der Post Dive into the world of bond trading with "Advanced Bond Trading: Strategies for Yield Enhancement" by renowned financial expert Hayden Van Der Post. This comprehensive guide is designed for intermediate to advanced traders seeking to elevate their portfolio through strategic bond investment. Why This Book? Expert Insights: Hayden Van Der Post brings years of experience to the table, sharing insider strategies and techniques that have proven successful in the dynamic bond market. Advanced Strategies: Learn sophisticated approaches to yield enhancement, including duration targeting, credit spread analysis, and convexity adjustments. This book goes beyond the basics, offering deep dives into strategies that can significantly impact your trading outcomes. Real-World Application: Every concept is accompanied by real-world examples and case studies, making the strategies accessible and actionable for today's traders. Risk Management: Master the art of risk assessment and management to protect your investments. Understand the nuanced risks specific to bond trading and learn how to mitigate them effectively. Key Features: Detailed breakdowns of complex trading strategies Practical tips for implementing each strategy Guidance on interpreting market signals and indicators Techniques for portfolio diversification and risk reduction Insights into future trends and how to position your portfolio for success Who Should Read This Book? "Advanced Bond Trading: Strategies for Yield Enhancement" is ideal for financial professionals, bond traders, and serious investors looking to deepen their knowledge of bond markets and enhance their trading strategies. Whether you're looking to refine your approach or explore new strategies for yield enhancement, this book provides the knowledge you need to succeed. Take Your Bond Trading to the Next Level With Hayden Van Der Post's expert guidance, you're not just reading another trading book; you're unlocking the potential for significant portfolio growth through strategic bond trading. Don't miss out on this essential resource for anyone serious about mastering the bond market.

Author: Anthony Crescenzi
Publisher: McGraw Hill Professional
ISBN: 9780071387071
Category : Business & Economics
Languages : en
Pages : 424

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Book Description
A dynamic, equity-style approach to investing in today's bond market "Tony Crescenzi knows bonds and his book proves it. From 'Fedspeak' to Treasury buybacks, The Strategic Bond Investor helps to explain the mysteries of the bond market and even offers tips on how to forecast interest rates. Sign me up—I can always learn something new!"—Bill Gross, Managing Director at Pacific Investment Management Company Bond investing can be every bit as exciting and profitable as "playing the stock market." The Strategic Bond Investor is the first book to approach fixed-income investing from an equity-style perspective. This fast-paced book provides readers with helpful tips, tools, and strategies for tracking market sentiment, spotting market extremes, analyzing volume and liquidity, and dozens of other techniques that were­­up until now­­limited primarily to the equity markets. The Strategic Bond Investor reveals a dramatic new approach for using bonds to balance portfolios while grabbing profit opportunities as they present themselves. It represents a new style of bond investing, bold yet risk-conscious, that is long overdue for today's transformed market environment. Investors looking to diversify their portfolios will discover: Key economic releases and how they influence bond prices Popular fixed-income portfolio management strategies Best-performing bonds in a variety of economic circumstances