Interest Rate Proprietary Trading Strategies

Yi Tang and Bin Li
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Yi Tang: Goldman, Sachs & Co., Inc., USA
Bin Li: Westport Financial, LLC, USA

Chapter 15 in Quantitative Analysis, Derivatives Modeling, and Trading Strategies:In the Presence of Counterparty Credit Risk for the Fixed-Income Market, 2007, pp 461-478 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Rich/Cheap TradeRich/Cheap AnalysisYield Curve Sector Rich/Cheap AnalysisRich/Cheap Analysis for Notes and BondsBond/Swap TradeCurvature TradeSpread TradeBox TradeOAT Floater TradeCash/Futures TradeA Generic Convergence Trading StrategyOther Factors Related to Trading StrategyTransaction CostHigher Risk and Highly Profitable TradesBet Big When All Components Line UpHuman Judgment

Keywords: CVA; Credit Valuation Adjustment; Counterparty Credit; BGM Model; HJM Model; RS Model; Martingale; Derivatives Modeling; Martingale Resampling; Orthogonal Exponential Spline; Stat Arb; Nonexploding Bushy Tree; NBT; PRDC; TARN; Snowball; Snowbear; CCDS; Credit Extinguisher (search for similar items in EconPapers)
Date: 2007
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