Strategies II: Volatility, Relative Value, Macro and the Bank Desks

Volatility and Convertibles

1. 1 Harvesting the Variance Risk Premium 8 solved exercises
2. 2 Dispersion and Correlation 8 solved exercises
3. 3 Skew and Term-Structure Relative Value 8 solved exercises
4. 4 Gamma Scalping and Event Volatility 8 solved exercises
5. 5 The Volatility-Index Complex 8 solved exercises
6. 6 Zero-Day Options and Dealer-Gamma Flows 8 solved exercises
7. 7 Tail Hedging and Long Volatility 8 solved exercises
8. 8 Convertible Arbitrage 8 solved exercises
9. 9 Capital-Structure Arbitrage 8 solved exercises

Rates and FX

1. 10 Government-Bond Relative Value 8 solved exercises
2. 11 The Bond-Futures Basis Trade 8 solved exercises
3. 12 Swap-Spread and Asset-Swap Trades 8 solved exercises
4. 13 Supply Trades 8 solved exercises
5. 14 Cross-Currency Basis and FX Carry 8 solved exercises
6. 15 FX Flow Strategies 8 solved exercises
7. 16 Systematic Macro 8 solved exercises
8. 17 Discretionary Macro 8 solved exercises

Credit and Mortgages

1. 18 Credit Relative Value 8 solved exercises
2. 19 Systematic Credit and Bond-ETF Arbitrage 8 solved exercises
3. 20 Mortgage and Structured-Credit Strategies 8 solved exercises

Commodities and Energy

1. 21 Commodity Spreads 8 solved exercises
2. 22 Storage, Transport and Physical Optionality 8 solved exercises
3. 23 Power and Gas Trading 8 solved exercises

The Bank Desks

1. 24 Flow Market Making at a Bank 8 solved exercises
2. 25 The Central Risk Book 8 solved exercises
3. 26 Delta-One and Dividends 8 solved exercises
4. 27 Quantitative Investment Strategies 8 solved exercises
5. 28 Hedging a Structured-Products Book 8 solved exercises

What You Must Not Do

1. 29 Manipulative Strategies and How They Are Caught 8 solved exercises

29 chapters — 29 online so far, and more publishing regularly. The complete book is already available as a free PDF you can read online.