{"product_id":"fixed-income-relative-value-analysis-website-isbn-9781394189083","title":"Fixed Income Relative Value Analysis + Website","description":"\u003cp\u003e\u003cb\u003eAn invaluable guide for fixed income practitioners, fully updated to incorporate the shift from LIBOR to SOFR\u003c\/b\u003e \u003c\/p\u003e\u003cp\u003eSince its first edition in 2013, \u003ci\u003eFixed Income Relative Value Analysis: A Practitioner’s Guide to the Theory, Tools, and Trades\u003c\/i\u003e has become the gold standard for guides linking financial theories with practical analysis tools. The newly revised second edition reflects both the progress in statistical tools over the last decade and the impact of the transition to SOFR on swap spreads. \u003c\/p\u003e\u003cp\u003eYou’ll find a set of statistical and financial tools, a multitude of actual trades resulting from the application of these tools, as well as access to a companion website featuring spreadsheets illustrating some of the models contained in the book. \u003c\/p\u003e\u003cp\u003eThis book covers: \u003c\/p\u003e\u003cul\u003e \u003cli\u003eStatistical models for quantitative market analysis, in particular mean reversion models and principal component analysis, now including the multivariate Ornstein-Uhlenbeck model.\u003c\/li\u003e \u003cli\u003eAn in-depth approach to understanding swap spreads in theory and practice.\u003c\/li\u003e \u003cli\u003eA comprehensive discussion of the various basis swaps and their combinations.\u003c\/li\u003e \u003cli\u003eThe incorporation of credit default swaps in yield curve analysis.\u003c\/li\u003e \u003cli\u003eA classification of option trades into three types and the appropriate analysis tools.\u003c\/li\u003e \u003cli\u003eFitted curve techniques for identifying relative value among different bonds.\u003c\/li\u003e \u003cli\u003eA multi-factor delivery option model for bond future contracts.\u003c\/li\u003e\n\u003c\/ul\u003e\u003cp\u003e\u003ci\u003eFixed Income Relative Value Analysis\u003c\/i\u003e has proven to be an indispensable desk reference for buy- and sell-side fixed income professionals, including traders, quantitative analysts, portfolio managers, financial engineers, fixed income salespeople with sophisticated clientele and risk managers. \u003c\/p\u003e\u003cp\u003ePreface to the Second Edition vii\u003c\/p\u003e \u003cp\u003eChapter 1 Relative Value 1\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart I Statistical Models\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eChapter 2 Mean Reversion 17\u003c\/p\u003e \u003cp\u003eChapter 3 Principal Component Analysis 51\u003c\/p\u003e \u003cp\u003eChapter 4 Multivariate Mean Reversion 111\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart II Financial Models\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eChapter 5 Some Comments on Yield, Duration, and Convexity 137\u003c\/p\u003e \u003cp\u003eChapter 6 Some Comments on Yield Curve Models 143\u003c\/p\u003e \u003cp\u003eChapter 7 Bond Futures Contracts 149\u003c\/p\u003e \u003cp\u003eChapter 8 Fitted Bond Curves 167\u003c\/p\u003e \u003cp\u003eChapter 9 An Analytic Process for Government Bond Markets 183\u003c\/p\u003e \u003cp\u003eChapter 10 Overview of the Following Chapters: Asset, Basis, Credit Default Swaps and their Mutual Influences 187\u003c\/p\u003e \u003cp\u003eChapter 11 Reference Rates 193\u003c\/p\u003e \u003cp\u003eChapter 12 Asset Swaps 213\u003c\/p\u003e \u003cp\u003eChapter 13 Credit Default Swaps 233\u003c\/p\u003e \u003cp\u003eChapter 14 Intra-Currency Basis Swaps 265\u003c\/p\u003e \u003cp\u003eChapter 15 Cross-Currency Basis Swaps 271\u003c\/p\u003e \u003cp\u003eChapter 16 Combinations and Mutual Influences of Asset, Basis, and Credit Default Swaps 287\u003c\/p\u003e \u003cp\u003eChapter 17 Global Bond RV Via Fitted Curves and Via SOFR Asset Swap Spreads 307\u003c\/p\u003e \u003cp\u003eChapter 18 Other Factors Affecting Swap Spreads 321\u003c\/p\u003e \u003cp\u003eChapter 19 Options 335\u003c\/p\u003e \u003cp\u003eChapter 20 Relative Value in a Broader Perspective 385\u003c\/p\u003e \u003cp\u003eBibliography 393\u003c\/p\u003e \u003cp\u003eIndex 395\u003c\/p\u003e  \u003cp\u003e\u003cb\u003eDOUG HUGGINS, \u003c\/b\u003eLondon, has been working in the fixed income markets in the US and Europe for 32 years. He managed the European fixed income relative value research group at Deutsche Bank in the late 90’s, when the group was voted best in its class for three consecutive years by the readers of Global Investor Magazine. He joined ABN AMRO in 2001 as Global Head of Fixed Income Relative Value Research, and subsequently became the firm’s Global Head of Hedge Fund Sales. In 2003, he started a proprietary trading desk at ABN, focusing on fixed income relative value opportunities. He continued a career as a relative value trader in the London offices of two global hedge funds: Citadel and Old Lane. Doug has a Ph.D. in financial economics and statistics from the University of Chicago. \u003c\/p\u003e\u003cp\u003e \u003cb\u003eCHRISTIAN SCHALLER, \u003c\/b\u003eEisenstadt, Austria earned a Ph.D. in Mathematics at the University of Bonn, Germany before learning the tools of the fixed income trade in the Relative Value team at Deutsche Bank, managed by Anshu Jain. Over time, he’s made a number of original contributions, particularly in the areas of principal component analysis and basis swap modeling. While responsible for Deutsche Bank’s research in Tokyo, he was voted “best relative value researcher” by customers in the Greenwich survey. Since 2004, he has been providing consulting and training for financial institutions through his consulting firms in Japan and Austria and as a trainer for The Technical Analyst in London. \u003c\/p\u003e\u003cp\u003eIn early 2017, Christian and Doug created QMA Analytics, a London-based firm providing analytic software for financial market participants.   \u003c\/p\u003e\u003cp\u003eIn the newly revised second edition of \u003ci\u003eFixed Income Relative Value Analysis: A Practitioner’s Guide to the Theory, Tools, and Trades\u003c\/i\u003e, a team of veteran fixed income experts delivers a fully up-to-date desk reference to the statistical and financial theories underpinning the fixed income markets. The book offers a detailed and robust set of tools you can use to assist in both buy- and sell-side transactions and comes complete with a host of examples of actual trades resulting from the application of these tools and access to a companion website featuring working implementations of some of the included mathematics and models explained inside. \u003c\/p\u003e\u003cp\u003eThe latest edition of this book includes extensive analysis of the significant changes in the fixed income markets implemented since the great financial crisis of 2008-09: the transition from LIBOR to other reference rates, an increased risk of default from governments, and additional regulation and capital constraints. \u003c\/p\u003e\u003cp\u003e\u003ci\u003eFixed Income Relative Value Analysis \u003c\/i\u003econtains coverage of relevant statistical models, including mean reversion, Principal Component Analysis, and multivariate mean reversion, as well as a wide variety of financial models, including yield curve modelling and fitted bond curves. The book also discusses asset, basis, and credit default swaps and their mutual influences before concluding with an insightful chapter on relative value from a broader perspective. \u003c\/p\u003e\u003cp\u003ePerfect for buy- and sell-side fixed income professionals, including quantitative analysts, portfolio managers, and financial engineers, \u003ci\u003eFixed Income Relative Value Analysis \u003c\/i\u003ewill also prove essential to fixed income salespersons with financially sophisticated clientele and risk managers. It’s a straightforward, mathematically robust, and timely guide to a complex subject.   \u003c\/p\u003e\u003cp\u003e \u003cb\u003eAN INVALUABLE GUIDE FOR FIXED INCOME PRACTITIONERS, FULLY UPDATED TO INCORPORATE THE SHIFT FROM LIBOR TO SOFR\u003c\/b\u003e \u003c\/p\u003e\u003cp\u003eSince its first edition in 2013, \u003ci\u003eFixed Income Relative Value Analysis: A Practitioner’s Guide to the Theory, Tools, and Trades \u003c\/i\u003ehas become the gold standard for guides linking financial theories with practical analysis tools. The newly revised second edition reflects both the progress in statistical tools over the last decade and the impact of the transition to SOFR on swap spreads. \u003c\/p\u003e\u003cp\u003eYou’ll find a set of statistical and financial tools, a multitude of actual trades resulting from the application of these tools, as well as access to a companion website featuring spreadsheets illustrating some of the models contained in the book. \u003c\/p\u003e\u003cp\u003eThis book covers:  \u003c\/p\u003e\u003cul\u003e\n\u003cli\u003eStatistical models for quantitative market analysis, in particular mean reversion models and principal component analysis, now including multi-variate Ornstein-Uhlenbeck. \u003c\/li\u003e\n\u003cli\u003eAn in-depth approach to understanding swap spreads in theory and practice. \u003c\/li\u003e\n\u003cli\u003eA comprehensive discussion of the various basis swaps and their combinations. \u003c\/li\u003e\n\u003cli\u003eThe incorporation of credit default swaps in yield curve analysis. \u003c\/li\u003e\n\u003cli\u003eA classification of option trades into three types and the appropriate analysis tools. \u003c\/li\u003e\n\u003cli\u003eFitted curve techniques for identifying relative value among different bonds. \u003c\/li\u003e\n\u003cli\u003eA multi-factor delivery option model for bond future contracts.\u003c\/li\u003e\n\u003c\/ul\u003e \u003cp\u003eA must-read desk reference for buy- and sell-side fixed income professionals, including traders, quantitative analysts, portfolio managers, and financial engineers, \u003ci\u003eFixed Income Relative Value Analysis \u003c\/i\u003ewill also appeal to fixed income salespeople with sophisticated clientele and risk managers.\u003c\/p\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47989219328229,"sku":"NP9781394189083","price":90.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9781394189083.jpg?v=1761783254","url":"https:\/\/k12savings.com\/es\/products\/fixed-income-relative-value-analysis-website-isbn-9781394189083","provider":"K12savings","version":"1.0","type":"link"}