Winning the Interest Rate Game: A Guide to Debt Options

by Frank J. Fabozzi

The unprecedented volatility of interest rates has led to the creation of options on various forms of fixed income securities as a means for active investors and money managers to limit their exposure to interest-rate risk.

Winning the Interest Rate Game: A Guide to Debt Options―the first book to address these new instruments, provides the fundamentals for understanding debt options.

Also, numerous strategies that can be employed to capitalize on the array of investment opportunities these new instruments offer.

Providing a broad perspective from a wide range of recognized experts, this book examines:

• Exchange-traded options on treasury securities
• Exchange-traded options on treasury bond futures contracts
• Over-the-counter fixed income options
• Synthetic options

Individual investors, corporate treasurers, investment trust managers, commercial and thrift bankers, managers of insurance companies, lawyers as well as issuers of fixed income securities all stand to benefit from chapters on hedging, trading and arbitrage strategies, tax treatment and portfolio management.

Clear explanations are also provided on the instruments that underlie debt options and the pricing of options on fixed income securities and interest rate futures.

Frank J. Fabozzı is Walter E. Hanson/Peat, Marwick, Mitchell Professor of Business and Finance at Lafayette College and Managing Editor of the Journal of Portfolio Management.

A Magna Cum Laude graduate of the City College of New York, he is a member of Phi Beta Kappa. Dr. Fabozzi earned a doctorate in Economics from the Graduate Center of The City University of New York, and is a Chartered Financial Analyst and a Certified Public Accountant.

He is coauthor of Fixed Income Portfolio Management and coeditor of The Handbook of Fixed Income Securities, The Municipal Bond Handbook and Stock Index Futures. His articles have appeared in leading finance journals.

Winning the Interest Rate Game: A Guide to Debt Options

Contributing Authors:

• Andrew G. Balbus, Associate, Paul, Weiss, Rifkind, Wharton & Garrison
• John McLean Ezell, Vice President and Manager of Fixed Income Hedge Products, Merrill Lynch Capital Markets
• Laurie S. Goodman, Vice President, Capital Markets Group, Citibank, N.A.
• David P. Jacob, Senior Research Analyst, Morgan Stanley & Co., Inc.
• Frank J Jones, Vice President, Kidder, Peabody & Co.
• Robert W. Kopprasch, Vice President, Salomon Brothers Inc
• Mark Landau, Assistant Vice President, Citicorp Futures Corp
• Gary D. Latainer, Senior Research Analyst, Morgan Stanley & Co., Inc.
• Mark Pitts, Vice President, Lehman Brothers
• Robert B. Platt, Principal and Manager of Fixed Income Research, Morgan Stanley & Co., Inc.
• Stephen F. Selig, Senior Partner, Baer Marks & Upham
• James A. Tilley, Vice President, Morgan Stanley & Co., Inc.
• Benjamin Wolkowitz, Vice President, Citicorp Futures Corp