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Definition / Erklärung / Einführung - was ist Arbitrage
Das französische Wort Arbitrage ist abgeleitet vom lateinischen arbitrari, "als Schiedsrichter wirken".
Als Fixed Income Arbitrage bezeichnet man die Ausnutzung von Kursunterschieden durch gleichzeitigen Kauf und Verkauf von festverzinslichen Effekten. Bei der Convertible Bond Arbitrage werden Preisineffizienzen von Wandelanleihen, die aus einem Zins- und einem Aktienteil bestehen, ausgenutzt.
Im Gegensatz zur Spekulation, bei der ein Wertpapier mit der Motivation gekauft wird, dieses zu einem späteren Zeitpunkt zu einem höheren Preis wieder zu verkaufen, profitiert die Arbitrage von regionalen Preisunterschieden und nicht zeitlichen Kursveränderungen. Arbitrage ist deshalb im Idealfall risikolos, da die Differenz der Kurse vor der Transaktion bekannt war.
Anders ist es bei der Risk Arbitrage bzw. Merger Arbitrage, die versucht, von der Kursentwicklung zweier Aktiengesellschaften zu profitieren, die eine/n Fusion / Übernahme / Zusammenschluss / Aktientausch angekündigt haben.
Einfache Arbitrage gleicht kurzfristig bestehende Kursdifferenzen aus und sorgt daher für einheitliche Preisfeststellungen bzw. Zinsfeststellungen. Arbitrageure werden von Banken und Sparkassen beschäftigt, sind in Hedge-Funds (Hegde-Fonds), Anlage- und Vermögensberatungsunternehmen oder selbstständig tätig.
Großinvestor und Multimilliardär Warren Buffett, Chairman von Berkshire Hathaway, über Arbitrage : "Give a man a fish and you feed him for a day. Teach him how to arbitrage and you feed him forever." (Gib einem Menschen einen Fisch und Du machst ihn satt für einen Tag. Lehre ihn die Kunst der Arbitrage und Du machst ihn satt für immer.)
Leider ist das Angebot weiterführender deutschsprachiger Bücher über Arbitrage ausgesprochen dünn. Sehr umfangreiche Abhandlungen zu diesem komplexen Thema findet man jedoch in der amerikanischen Literatur. Die bekanntesten und besten Bücher :
Synopsis : An arbitrage is the simultaneous purchase and sale of securities in different markets in an attempt to profit from short-term price disparities. On a large scale, significant sums can be made with an arbitrage strategy, and this is an area where some very renowned traders (such as George Soros) have made their fortunes. As markets become more volatile, the profit and risk opportunities and challenges become greater. However, for the fleet of foot with a global perspective, the opportunities can be tremendous. Explaining how to profit from arbitrage opportunities on a global scale, the author of this text presents numerous examples and case studies, between sectors such as health and retail as well as considering stock indexes.
From the Inside Flap : Some of the most successful and well-known hedge funds have long profited from a trading strategy that applies macroeconomic views to global markets: global macro. Pioneered by hedge fund mangers such as George Soros and Julian Robertson, this strategy has led to enormous profits. By placing, directional bets on liquid assets, it is particularly suited for trending markets. In Macro Trading and Investment Strategies: macroeconomic Arbitrage in Global Markets, Gabriel Burstein defines and rigorously analyzes this investment style.
amazon.de: Macro Trading & Investment Strategies
amazon.com: Macro Trading & Investment Strategies (US-Customers)
Synopsis : For the financial profession, a complete understanding of arbitrage - the mechanics, the risks, valuation principles, the financial instruments - is a prerequisite to a successful future in the investment industry. However, misconceptions abound about what arbitrage is and is not and how it affects the markets. These misconceptions have an impact on regulators, risk managers, back-office managers, financial controllers and the like.
While there are several books that cover aspects of arbitrage (such as fixed-income arbitrage or risk arbitrage), no book provides a comprehensive overview of arbitrage as it is practised today. "The Complete Arbitrage Deskbook" is an overview and practical analysis of arbitrage. The main thrust is an exploration of arbitrage as it is practised in the professional environment. There is a heavy emphasis on practical issues while theoretical explanations are limited. The book provides details of the many different financial instruments that can be used in arbitrage, such as stocks, futures, interest rate swaps, money market instruments, etc.
The book also covers several forms of arbitrage: risk arbitrage, index arbitrage, and interest rate futures versus straight deposit. The author explains the connections between the different types of arbitrage and instruments and lays the foundations of position valuation and risk analysis
"The Complete Arbitrage Deskbook" presents a broad overview of arbitrage opportunities in the financial markets. It should serve as a reference tool to improve the general understanding of the arbitrage market and help clear up misunderstandings about arbitrage and its effects on the markets. Topics covered include: types of arbitrage; market structure; stocks, future, money market and stock index instruments; valuation; and sources of risk. The book closes with several real-life examples of arbitrage in action to help illustrate key points. The author brings a global perspective to the arbitrage market, creating a book with a broader and more general overview of arbitrage than the existing competition.
amazon.de: The Complete Arbitrage Deskbook
amazon.com: The Complete Arbitrage Deskbook (US-Customers)
Synopsis : This text provides an accessible introduction to the classical mathematical underpinnings of modern finance. Professor Bjork concentrates on the probabilistic theory of continuous arbitrage pricing of financial derivatives, including stochastic optimal control theory, Merton's fund separation theory, continuous time CAPM, and consumption CAPM. The book is specifically designed for graduate sudents, and combines the necessary mathematical background with a solid economic focus. It includes a solved example for every technique presented, contains numerous exercises and gives a Further Reading list for each chapter. This book is intended for graduate students and advanced undergraduates studying finance, mathematicians looking for an introduction to mathematical finance, and practitioners working in financial markets.
Content : Problem Formulation The Binomial Model The One Period Model Model Description Portfolios and Arbitrage Contingent Claims Risk Neutral Valuation The Multiperiod Model Portfolios and Arbitrage Contingent Claims Exercises Notes Stochastic Integrals Introduction Information Stochastic Integrals Martingales Stochastic Calculus and the Ito Formula Examples The Multidimensional Ito Formula Correlated Wiener Processes Exercises Notes Differential Equations Stochastic Differential Equations Geometric Brownian Motion The Linear SDE The Infinitesimal Operator Partial Differential Equations The Kolmogorov Equations Exercises Notes Portfolio Dynamics Introduction Self-financing Portfolios Dividends Exercises Arbitrage Pricing Introduction Contingent Claims and Arbitrage The Black-Scholes Equation Risk Neutral Valuation The Black-Scholes Formula Options on Futures Forward Contracts Futures Contracts and the Black Formula Volatility Historic Volatility Implied Volatility American options Exercises Notes Completeness and Hedging Introduction Completeness in the Black-Scholes Model Completeness [...]
amazon.de: Arbitrage Theory in Continuous Time
amazon.com: Arbitrage Theory in Continuous Time (US-Customers)
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