{"product_id":"fixed-income-relative-value-analysis-website-a-practitioners-guide-to-the-theory-tools-and-trades-hardback-9781394189083","title":"Fixed Income Relative Value Analysis + Website; A Practitioner's Guide to the Theory, Tools, and Trades (Hardback) 9781394189083","description":"\u003cfont face=\"Georgia\"\u003e\r\n\u003cp\u003e\u003cfont size=\"6\"\u003eFixed Income Relative Value Analysis + Website\u003c\/font\u003e\u003cbr\u003e\r\n\u003cfont size=\"5\"\u003eA Practitioner's Guide to the Theory, Tools, and Trades\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\r\n\r\n\u003cp\u003e\u003cfont size=\"4\"\u003eDoug Huggins (Author), Christian Schaller (Author)\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e9781394189083, Wiley\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eHardback, published 4 April 2024\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e432 pages\u003cbr\u003e23.1 x 16 x 3 cm, 0.612 kg\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\r\n\r\n\r\n\u003cp align=\"justify\"\u003e\u003cstrong\u003e\u003cfont size=\"3\"\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\n\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\n\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\n\u003cp\u003eThis book covers: \u003c\/p\u003e\n\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\n\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\u003c\/font\u003e\u003c\/strong\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\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\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eSubject Areas: Finance \u0026amp; accounting [\u003ca title=\"See our other books on Finance \u0026amp; accounting\" href=\"https:\/\/freshlyprintedbooks.co.uk\/search?q=%22Finance%20\u0026amp;%20accounting%20%5BKF%5D%22\"\u003eKF\u003c\/a\u003e]\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\u003c\/font\u003e","brand":"Wiley","offers":[{"title":"Brand New","offer_id":52165263229208,"sku":"9781394189083","price":57.97,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0730\/2037\/5320\/files\/9781394189083.jpg?v=1781094979","url":"https:\/\/freshlyprintedbooks.co.uk\/products\/fixed-income-relative-value-analysis-website-a-practitioners-guide-to-the-theory-tools-and-trades-hardback-9781394189083","provider":"Freshly Printed Books","version":"1.0","type":"link"}