The treasury bond basis
Subtitle: an in-depth analysis for hedgers, speculators, and arbitrageurs
By: by Galen Burghardt and Terry Belton.
Contributors: Belton, Terrence M.
Edition: 3rd ed.
Publisher: McGraw-Hill
Published: 2005
Place of publication: New York
Language: eng
Number of pages: 280
Subjects: Hedging (Finance); Government securities -- United States.; Futures -- United States.
Description: "Since it was first published in 1989, The Treasury Bond Basis has grown to become a mandatory reference book for every professional trader of Treasury bond and note futures. An insightful analysis of the complex relationship between the cash market and futures market for Treasury bonds and notes, its information and influence have helped thousands of hedgers, speculators, and arbitrageurs to understand and profit from that relationship."

"The third edition of this reference reflects numerous changes in the market in the decade since the second edition, including: Updated explanations of valuing the short's delivery alternatives; new discussions of global bond futures trading and applications for portfolio managers; and new illustrations, examples, and case studies covering every aspect of the bond basis."--Jacket.
Table of contents: title: Basic concepts; title: What drives the basis?; title: The short's strategic delivery options; title: The option-adjusted basis; title: Hedging with bond and note futures; title: Trading the basis; title: Volatility arbitrage; title: Nine eras of the bond basis; title: Non-dollar government bond futures; title: Applications for portfolio managers.