Inventing Money: The Story of Long-Term Capital Management and the Legends Behind ItLTCM (Long-Term Capital Management) - a portmfolio of bonds worth 100 billion - owned 5% of the global interest rate swap market plus other derivatives, it had a notional value of 1 trillion. The people involved in the LTCM were the "dream team": Robert Merton and Myron Scholes (both Nobel Prize winners for their work on option pricing), John Meriwether (the former vice-chairman of Salomon Brothers and one-time Wall Street star of bond trading), and David Mullins (ex-Harvard Business School Professor and previously vice-chairman of the Federal Reserve). Even with all this financial expertise, in September 1998, LTCM collapsed, making financial headline news across the world and requiring 14 investment banks to provide 3.6 billion in cash to stop the fund going under and dragging each of them down as well. |
Contents
The Theory of Speculation | 1 |
Trading in Time | 45 |
The Garden of Forking Paths | 67 |
Copyright | |
7 other sections not shown
Other editions - View all
Inventing Money: The Story of Long-Term Capital Management and the Legends ... Nicholas Dunbar No preview available - 2000 |
Common terms and phrases
arbitrage arbitrage group assets auctions Bachelier bankers bond market bond traders borrow Buffett Cabiallavetta called capital CAPM CBOT cent Chicago clients collateral Corzine counterparties currency dealers debt delta-hedging derivatives desks earn economics equity exchange firm Fischer Black fixed income floating rate formula futures contract Goldman Sachs Goldstein government bond Greg Hawkins hedge funds hidden options implied volatility index options interest rate interest rate swap investment banks investors Italian John Meriwether JP Morgan leverage liquidity loan long-dated LTCM LTCM's Markowitz mathematical McDonough Meriwether's million money machines mortgage Mozer Mullins Myron Scholes needed Normal distribution option pricing positions problem profit random walk replicate repo risk management Ross Salomon Brothers Scholes and Merton Scholes's sell share sold standard deviation started stock market stock price swap trading Treasury bonds Wall Street wanted yield curve
References to this book
International Capital Markets: Systems in Transition John Eatwell,Lance Taylor No preview available - 2002 |
Derivate auf Alternative Investments: Konstruktion und Bewertungsmöglichkeiten Christian Hoppe No preview available - 2005 |