Strategy

Descriptions

Pairs trading

Plays mean reversion in the spreads of two securities

Term structure arbitrage

Takes long-short positions across the term structure

Volatility arbitrage

Plays the spread of implied vs. realized volatility of the same security or implied vs. implied volatility of the same or different securities

Swap spread arbitrage

Profits from the spread between a fix and a floating leg by entering a short (long) Treasury position and simultaneously buying (selling) an IRS

Mortgage arbitrage

Buys MBS hedging the interest rates exposure

Capital structure arbitrage

Takes long-short positions on different instruments of a company (credit arbitrage and convertible arbitrage)