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1、-thesamecompany.Theinvestorthereforetakesadvantageoftheincomefromthebondandthesaleofthestockwhileprotectinghimfrommovementsinthemarket.Byhedgingthestockexposurethroughtheshortsaleoftheunderlying,theinvestorcreatesavolatilitymovementthatcanbearbitragedb
2、ytheoptionextractedfromtheoriginalsecurity.Thisvolatilityarbitrageprinciple,whichinvolvesstrippingthebondpartofaconvertibleloantoextracttheconversionrights,appearedaroundfifteenyearsago.Bystrippingtheproduct,theinvestorextractstheimplicitvolatilitywhil
3、ehedgingagainstthebondsensitivitybysellingfuturescontractsandstocksensitivitybysellingtheunderlying.Thatmakestheconvertiblebondanidealassetforcarryingoutarbitrageonvolatilitymovements.1.2.2FixedincomearbitrageThefixedincomeArbitragestrategiesinvolvetak
4、ingadvantageofpricinganomaliesbetweentwoormoresectorsinthefixed-incomemarket,orbetweendifferentsecuritiesinthesamesector.Theseanomaliesresultmoreoftenthannotfromimbalancesbetweenthesupplyanddemandandpoordisseminationofrelevantinformation.Theclassicstra
5、tegyistotakealongpositionintheundervaluedsectororasset,andsimultaneouslyashortpositionintheovervaluedsectororasset.Thetwopositionsaregenerallyrebalancedinsuchawayastomaintainneutralitywithregardtothefixedincomemarketriskortheduration(i.e.,interestrater
6、isk).Althoughtheexplicitgoalofthestrategyistoneutralizethedurationrisk,itactuallyseeksexposuretootherbond-specificriskstogenerateperformance(i.e.,credit,volatility,liquidity,etc.)Therearenumerousvarietiesofinterestratearbitragestrategies:TED(Treasuryse
7、curitiesandEurodollarfutures)spreads,swapspreads,basistrades,creditspreads,optionrelationships,yieldcurvestrategies,cross-markettrades,etc.Theinvestmentprocesslogicallytakesplaceinthreestages:checkingtheinstruments,determiningthefundamentalsofthosecorr
8、elationsandanalyzingthereasonsforapossiblemodificationinthecorrelations.Fixedincomearbitragestrategiesrelyheavilyonsophisticatedalgorithms.Themodelriskisthusparticularlyimportantinthisstrategy.Ingeneral,profitsmadebyFixedIncomeArbitrage
