Random Walks in Fixed Income and Foreign Exchange

The fixed income and foreign exchange (FX) markets have never been as challenging to operate in as they are today. The post-crash combination of reduced liquidity, higher operating costs, low interest rates, flat yield curves and increased regulation means that market makers and investors alike need to work harder to generate value and remain in full understanding of the markets.

Random Walks in Fixed Income and Foreign Exchange brings together the best of detailed and original practitioner-orientated market research on many specialist areas of the bond and FX markets. Written by the highly regarded FX and bonds research desk at Commerzbank, the book offers varied and in-depth insight into specific topics of vital important to dealers and investors, including the cross-currency basis and hedging, the yield curve, and overseas issuance conversion factors which will give investors a genuine edge in generating value. Written in accessible text, it is a must-read for all those interested in bonds and FX.

Jessica James is a senior quantitative researcher at Commerzbank in London, and previously was head of the Quantitative Solutions Group. Jessica is a visiting professor both at University College London and at Cass Business School.

Christoph Rieger is heading the Rates & Credit Research at Commerzbank.

Michael Leister is responsible for interest rate strategy at Commerzbank.