Trading Inflation: Markets, Instruments And Strategies

Hardcover | February 1, 2017

byDariush Mirfendereski, Neil Schofield

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Trading Inflation takes a practical, hands-on approach to the subject, with numerous examples to go beyond the 'what' and focus on the 'how' for trading and investing in inflation-indexed products. Written in an accessible style by experienced practitioners, this book provides a consistent and comprehensive framework for understanding and applying the building blocks of this important asset class. Where appropriate, industry-standard Bloomberg-based screenshots are included to show the reader the use of these practical tools. Numerous worked examples are complemented with a set of problems at the end of each chapter with the aim of enhancing understanding. Many of the examples are targeted at using one or both of MS Excel and Bloomberg Professional.

Section I covers markets and products and consists of succinct chapters, each a standalone module, covering the essential building blocks in this market. The design of the book allows the reader to pick and choose what are most appropriate modules for their particular uses.

Section II focuses on trading and hedging strategies, illustrating various risk measures, models, market peculiarities such as seasonality and relative value analysis. Chapters are included on strategies to express various market views and also how to hedge flows as a market maker.

Section III is dedicated to end users of inflation-indexed securities, i.e. the issuers and investors. These in-depth chapters cover detailed examples and case-studies applied to issuer and investor solutions, including the increasingly important area of liability driven investments or LDI.

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From the Publisher

Trading Inflation takes a practical, hands-on approach to the subject, with numerous examples to go beyond the 'what' and focus on the 'how' for trading and investing in inflation-indexed products. Written in an accessible style by experienced practitioners, this book provides a consistent and comprehensive framework for understanding ...

Dariush Mirfendereski was a Managing director and Head of Inflation Linked Trading at UBS until July 2011. Previously he was head of inflation derivatives trading in London for Barclays Capital. He has been trading inflation-indexed products since 1998.In addition to his trading role at UBS, Dariush has been involved in pitching and...
Format:HardcoverDimensions:320 pages, 9.25 × 6.12 × 0.98 inPublished:February 1, 2017Publisher:Palgrave MacmillanLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0230393101

ISBN - 13:9780230393103

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Extra Content

Table of Contents

PART I: MARKETS AND PRODUCTS
1. Fundamental Concepts of Inflation
2. The Major Inflation Markets and the Most Liquidly Traded Inflation-Indexed Instruments
3. Notation, Definitions and Framework for Analysing Inflation-Indexed Securities
4. Inflation–Indexed Bonds in More Detail
5. Inflation–Indexed Swaps in More Detail
6. The Par Floor in ILBs – The Unavoidable Non-Linear Chapter
PART II: TRADING, HEDGING, AND RISK MEASURES
7. ILB Analytics
8. Inflation Swap Models and Risk
9. Seasonality and Carry
10. Inflation-Indexed Bonds & Swap RV
11. Expressing Views on Breakevens
12. Expressing Views on Real Yields
13. Hedging Flows as a Market-Maker
PART III: PRODUCTS AND SOLUTIONS FOR END USERS
14. How, Why, and When to Issue Linkers for Sovereigns and Other Tax-Collecting Entities
15. Linker Issuance for Corporate Issuers
16. Why Invest in Linkers and Use Inflation Wwaps?
17. Inflation–Indexed Products Within a Portfolio
18. Liability Driven Investments (LDI) and Inflation-Indexed Products