Trading and Investing in Bond Options: Risk Management, Arbitrage, and Value Investing

The Bond Option Market. Pricing Models for Bond Options. Advanced Pricing Models for Bond Options. Model Selection, Evaluation, and Parameter Estimation. Dealing in Bond Options. A Computerized Options Trading and Risk Management System for Dealers. Relative-Value Trading in Bond Options. Strategies Driven by Estimated Forthcoming Volatility. Strategies Driven by Interest Rate Forecasts. Portfolio Strategies Involving Options. Appendix. Index.