VALUINGFIXEDINCOMEFUTURES

Themorepreciselyriskscanbedefinedtheeasieritistomakejudgmentsaboutwhetherthey'refairlyvalued.ValuingFixedIncomeFuturesisapracticalresourcethatequipsfinancialprofessionalswithameansofmeasuringtheperformanceofTreasuryandEurodollarfutures.WrittenbyDavidBoberski,oneoftoday'sleadingWallreetanalys,thebookexplainshowtoapplytechnologytodevelopempiricalframeworkstosolveforembeddedoptionvaluationinTreasuryandEurodollarfutures.Heshowsindetailhowtobuildempiricalmodelstomeasurerisk...thedriversofTreasury/Eurodollarspreads...andmore.ValuingFixedIncomeFuturesfocusesondevelopingtoolstoaidinrelativevaluedecisions.Thisexpertguidetakesreadersepbyepthrougheverymajoraspectoffixedincomefuturesvaluationusinghedgingexamplesfromthemortgagemarket:AnOverviewofWhereFuturesFitintotheFixedIncomeLandscape_examiningthecharacteriicsoffixedincomefuturesandwhatriskstheyentailAComprehensiveExaminationoftheFuturesMarket_detailingrecentmajorchangesinthetradingarena,thewaysinwhichfuturesmirrormortgageconvexity,calendarspreads,andthetypesoftraderswhousefuturestomanagerisksTreasuryFutures:TheLanguageoftheBasis_coveringdeliveryoption,basismatrix,and"feararbitrage"fromrecentsqueezesinthemarketEurodollarFutures:Minimalructure,ComplexImplications_exploringconvexitybias,contraingEurodollarandFedFundsvaluation,hedginghybridARMs,andhedginginpracticeTreasury/Eurodollar(TED)Spreads_analyzingdriversofthespreadandTEDspreadwithempiricalmodelsPricingOptionswithanEventModel_explainingwhyvolatilitydrivesoptionprices,andhowtocreateavolatilitymaptoanticipatefuturevolatilityFilledwithscoresoffinancialtables,charts,andfigures,thiscompletevaluationtoolprovidesdefinitionsoftheentirerangeoffixedincomefuturesterms,plusin-depthguidanceforapplyingallmodelsandmethods.ValuingFixedIncomeFuturespresentsacareful,ate-of-the-artanalysisofthetechnologyforunderandingpricebehaviorandtheriskofeachcontractnotfoundinanysimilarresource.