About the author PERRY H. BEAUMONT is Senior Vice-President at Lehman Brothers, where he specializes in strategy for all cash and derivative government securities including agencies. Prior to joining Lehman, Perry was Director for Risk Management, North America at Swiss Bank Corporation, and was previously Manager of Financial Futures research at Kidder, Peabody & Co. He holds a doctorate in economics from the University of Illinois at Urbana-Champaign, and is an adjunct professor at Fordham University in New York City.
Partial table of contents:
THE BUILDING BLOCKS OF SYNTHETIC ASSETS.
Present Value, Compound Interest, and Total Returns.
Forward Rates and Spot Rates.
Duration and Convexity.
SYNTHETIC MONEY MARKET SECURITIES.
A Survey of Cash Money Market Securities.
Repos, Reverse Repos, and Dollar Rolls.
Treasury Bill Futures.
Eurodollar Futures and International Money Markets.
Floating Rate Notes.
SYNTHETIC NOTES, BONDS, AND OPTIONS.
Creating Other Synthetic Assets.
SYNTHETIC FIXED-INCOME PORTFOLIOS.
Creating Portfolio Duration.
Designing Portfolio Returns.
VARIATIONS ON A THEME.
Equity- and Commodity-Linked Securities.
Synthetic Option Strategies.