" Arbitrage promotes efficiency and forms the basis of valuation. There is no more essential concept in finance. And I can think of no better opportunity for profitable arbitrage than the purchase of this outstanding book." — Mark Kritzman, President & CEO, Windham Capital Management, LLC
" The author has produced a concise yet thorough work on the true meaning and forms of arbitrage— a term that is often thrown around loosely. This book is a great resource for professional investors and students who wish to understand both the concepts and the mathematical ' nuts and bolts' of this important (and sometimes misunderstood) topic." — Michelle R. Clayman, CFA, Managing Partner & Chief Investment Officer, New Amsterdam PartnersLLC
" This is a very good book. The concepts are engaging and the material is well presented and written. I like the way that the book is filled with easy-to-follow numerical examples." — Don Rich, Foreign Exchange Research Director & Portfolio Manager, Wellington ManagementCompany
" An easy-to-read, accessible introduction to the concept of arbitrage, perhaps the most important financial force that determines security prices and a concept that all security market participants must understand. The author succeeds at unifying several financial models that rely on the force of arbitrage in an easy-to-read and intuitive way." — David Dubofsky, CFA, Virginia CommonwealthUniversity
A Concise, Intuitive Guide to Modern Arbitrage: Theory "and" Practice
Makes arbitrage understandable to any financial professional, CFA® charterholder or candidate, or other seriousinvestor
Explains how arbitrage is a common thread in much of financial thought
Shows how to identify and exploit arbitrage opportunities in securities, commodities, currencies, interest rates, and other markets
© Copyright Pearson Education. All rights reserved.
" Arbitrage promotes efficiency and forms the basis of valuation. There is no more essential concept in finance. And I can think of no better opportunity for profitable arbitrage than the purchase of this outstanding book." — Mark Kritzman, President & CEO, Windham Capital Management, LLC
" The author has produced a concise yet thorough work on the true meaning and forms of arbitrage— a term that is often thrown around loosely. This book is a great resource for professional investors and students who wish to understand both the concepts and the mathematical ' nuts and bolts' of this important (and sometimes misunderstood) topic." — Michelle R. Clayman, CFA, Managing Partner & Chief Investment Officer, New Amsterdam PartnersLLC
" This is a very good book. The concepts are engaging and the material is well presented and written. I like the way that the book is filled with easy-to-follow numerical examples." — Don Rich, Foreign Exchange Research Director & Portfolio Manager, Wellington ManagementCompany
" An easy-to-read, accessible introduction to the concept of arbitrage, perhaps the most important financial force that determines security prices and a concept that all security market participants must understand. The author succeeds at unifying several financial models that rely on the force of arbitrage in an easy-to-read and intuitive way." — David Dubofsky, CFA, Virginia CommonwealthUniversity
A Concise, Intuitive Guide to Modern Arbitrage: Theory "and" Practice
Makes arbitrage understandable to any financial professional, CFA® charterholder or candidate, or other seriousinvestor
Explains how arbitrage is a common thread in much of financial thought
Shows how to identify and exploit arbitrage opportunities in securities, commodities, currencies, interest rates, and other markets
© Copyright Pearson Education. All rights reserved.
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.
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 structure.
Randall S. Billingsley, Ph.D., CFA is a finance professor at Virginia Tech as well as a Chartered Financial Analyst charterholder and holder of the Certified Rate of Return Analyst (CRRA) designation. He consults worldwide, and was formerly Vice President at the Association for Investment Management and Research (now the CFA Institute). An award-winning teacher at both the undergraduate and graduate levels, he has taught review courses for CFA(R) charter candidates throughout the U.S. and Europe. His equity valuation case study was assigned in AIMR's Level II of the CFA(R) Curriculum. Billingsley serves as an expert witness on valuation and investment-related litigation.
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