Random Walks in Fixed Income and Foreign Exchange: Unexpected Discoveries in Issuance, Investment and Hedging of Yield Curve Instruments

Jessica James; Michael Leister; Christoph Rieger

Published by De Gruyter 2021

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

In the series The Moorad Choudhry Global Banking Series

https://doi.org/10.1515/9783110688733

Overview
Contents

About this book

The fixed income and foreign exchange (FX) markets have never been as challenging to operate in as they are today. The post-crash combination of reduced liquidity, higher operating costs, low interest rates, flat yield curves and increased regulation means that market makers and investors alike need to work harder to generate value and remain in full understanding of the markets.

Random Walks in Fixed Income and Foreign Exchange brings together the best of detailed and original practitioner-orientated market research on many specialist areas of the bond and FX markets. Written by the highly regarded FX and bonds research desk at Commerzbank, the book offers varied and in-depth insight into specific topics of vital important to dealers and investors, including the cross-currency basis and hedging, the yield curve, and overseas issuance conversion factors which will give investors a genuine edge in generating value. Written in accessible text, it is a must-read for all those interested in bonds and FX.

Author / Editor information

Jessica James is a senior quantitative researcher at Commerzbank in London, and previously was head of the Quantitative Solutions Group. Jessica is a visiting professor both at University College London and at Cass Business School.

Christoph Rieger is heading the Rates & Credit Research at Commerzbank.

Michael Leister is responsible for interest rate strategy at Commerzbank.

Topics

Frontmatter Publicly Available Download PDF	I
Advance Praise for Random Walks in Fixed Income and Foreign Exchange Publicly Available Download PDF	V
Foreword Publicly Available Download PDF	VII
Contents Publicly Available Download PDF	IX
Preface Publicly Available Download PDF	XIII
Chapter 1 What Really is the Cross-Currency Basis? Requires Authentication Unlicensed Licensed Download PDF	1
Chapter 2 XVA and the Cross-Currency Basis Requires Authentication Unlicensed Licensed Download PDF	21
Chapter 3 Calculating Novel Cross-Currency Bases and FX Hedged Pickups Requires Authentication Unlicensed Licensed Download PDF	40
Chapter 4 FX Hedging of Fixed Income – What is the Best Way? Requires Authentication Unlicensed Licensed Download PDF	62
Chapter 5 Introducing the Conversion Factor Requires Authentication Unlicensed Licensed Download PDF	81
Chapter 6 An Empirical Method of Calculating the Term Premium Requires Authentication Unlicensed Licensed Download PDF	96
Chapter 7 An Update of the Term Premium Calculation Requires Authentication Unlicensed Licensed Download PDF	116
Chapter 8 Forward Curves, Duration and Convexity Requires Authentication Unlicensed Licensed Download PDF	122
Chapter 9 Implied vs Realised Convexity Requires Authentication Unlicensed Licensed Download PDF	161
List of Figures Requires Authentication Unlicensed Licensed Download PDF	169
List of Tables Requires Authentication Unlicensed Licensed Download PDF	173
About the Authors Requires Authentication Unlicensed Licensed Download PDF	175
References Requires Authentication Unlicensed Licensed Download PDF	177
Index Requires Authentication Unlicensed Licensed Download PDF	179

(Deutsch)

Language: English
Publisher: De Gruyter
Audience: Bank professionals
Pages
- Front matter: 14
- Main content: 182
Illustrations
- Illustrations: 174
- Coloured Illustrations: 9
- Tables: 19
Keywords: Fixed income; Foreign exchange; FX hedging; Financial instruments; Random Walk

eBook

Published: June 8, 2021
ISBN: 9783110688733

Hardcover

Published: June 8, 2021
ISBN: 9783110688689