Understanding Arbitrage. An Intuitive Approach To Financial Analysis

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Billingsley, Randall

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ISBN:9780131470200
Editorial: Prentice-Hall International Ed
Fecha de la edición:2005
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Dimensiones: 0 cm x 0 cm
Nº Pág.:224
Idiomas:Ingles,Inglés

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Arbitrage is central both to corporate risk management and to a wide range of investment strategies. Thousands of financial executives, managers, and sophisticated investors want to understand it, but most books on arbitrage are far too abstract and technical to serve their needs. Billingsley addresses this untapped market with the first accessible and realistic guide to the concepts and modern practice of arbitrage. It relies on intuition, not advanced math: readers will find basic algebra sufficient to understand it and begin using its methods.

The author starts with a lucid introduction to the fundamentals of arbitrage, including the Laws of One Price and One Expected Return. Using realistic examples, he shows how to identify assets and portfolios ripe for exploitation: mispriced commodities, securities, misvalued currencies, interest rate differences and more. You'll learn how to establish relative prices between underlying stock, puts, calls, and 'riskless' securities like Treasury bills and how these techniques support derivatives pricing and hedging. Billingsley then illuminates options pricing, the heart of modern risk management and financial engineering. He concludes with an accessible introduction to the Nobel-winning Modigliani-Miller theory, and its use in analyzing capital

Preface.

1. Arbitrage, Hedging, and the Law of One Price.

2. Arbitrage in Action.

3. Cost of Carry Pricing.

4. International Arbitrage.

5. Put-Call Parity and Arbitrage.

6. Option Pricing.

7. Arbitrage and the (Ir)Relevance of Capital Structure.

References and Further Reading.

Index.

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Features

The first brief, intuitive, 'low-math' guide to modern arbitrage and its importance in the practice of finance and investing.

The first book to make arbitrage understandable to the widest possible audience of investors and financial professionals.
Shows how to identify and exploit arbitrage opportunities in securities, commodities, currencies, interest rates, and more.
Leverages the author's unsurpassed experience teaching arbitrage to thousands of financial students and practitioners.