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This book is about trading inflation.
List 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
About the author
DARIUSH MIRFENDERESKI is the senior inflation derivatives trader at Barclays Capital. Based in London, he has been responsible for trading all UK and European inflation swaps and options since 1998. Additionally, he has been closely involved with the Barclays derivatives sales force in promoting client interest and familiarity with inflation-linked derivatives, covering corporate, financial institution, and hedge fund client bases. Dariush has also been leading Barclays' efforts in developing the new market for US CPI swaps in 2003.Prior to joining Barclays, Dariush worked from 1993-1996 in San Francisco at EQECAT, a risk consultancy specializing in catastrophe risk assessment for insurance and reinsurance companies, where he was responsible for the modelling of the risk-simulation and insurance pricing models. Dariush obtained his BSc and MSc degrees from UCL and Imperial College London and subsequently a PhD in engineering at the University of California at Berkeley.
Summary
This book is about trading inflation.
