T2W Trading Community

Description

This book addresses many practical issues and important latest developments in the areas of quantitative analysis, trading strategies, and derivative pricing, some of which are from the authors' own research and practice. While the primary focus of this book is the fixed-income market, it also covers other financial markets, such as equity and foreign exchange markets.

An extensive coverage of the fundamentals of quantitative analysis for the fixed-income market, including various practical yield curve models, such as the Orthogonal Exponential Spline Model, two-factor risk model, and the Yield Decomposition Model is Provided.

The trading strategy part of the book reveals many actual trading strategies for fixed-income, foreign exchange and equity markets used by leading Wall street power houses, such as those based on statistical arbitraging.

For general derivative pricing, the generalized Black-Scholes framework, and the Martingale non-arbitrage pricing theory are covered. For fixed-income derivative pricing, this book covers the Health-Jarrow-Morton framework, the Brace-Gatarick-Musiela interest rate market model, as well as a number of other important and popular models with respect to 2n state variables, and the recently developed string model. Tree based numerical techniques are discussed in detail. A non-exploding bushy tree technique for effiently solving multi-factor full yield curve interest rate models is also discussed. Stochastic calculus is explained in simple terms throughout.

This book attempts to combine simplicity and economic insights with mathematical elegance, which would be beneficial to both novice and advanced readers who work or are interested in the fixed-income, as well as other markets.