Fixed Income Relative Value Analysis + Website: A Practitioner's Guide to the Theory, Tools, and Trades

Fixed Income Relative Value Analysis: A Practitioners Guide to the Theory, Tools, and Trades, is a comprehensive guide for fixed income practitioners, fully updated to incorporate the shift from LIBOR to SOFR. It provides a set of statistical and financial tools, actual trades, and a companion website with spreadsheets. The book covers mean reversion models, principal component analysis, swap spreads, basis swaps, credit default swaps, option trades, fitted curve techniques, and a multi-factor delivery option model for bond future contracts. It is an indispensable desk reference for buy- and sell-side fixed income professionals.

Format: Hardback
Length: 432 pages
Publication date: 04 April 2024
Publisher: John Wiley & Sons Inc

Since its first edition in 2013, Fixed Income Relative Value Analysis: A Practitioners Guide to the Theory, Tools, and Trades has emerged as the preeminent reference for bridging financial theories with practical analysis tools. The newly revised second edition not only captures the advancements in statistical methodologies over the past decade but also reflects the profound impact of the transition to SOFR on swap spreads. Within its pages, you will discover a comprehensive array of statistical and financial tools, a diverse collection of real-world trades derived from the application of these tools, and access to a companion website featuring spreadsheets illustrating some of the models presented in the book.

This comprehensive guide encompasses a wide range of topics, including:

Statistical models for quantitative market analysis, encompassing mean reversion models and principal component analysis, with the inclusion of the multivariate Ornstein-Uhlenbeck model.

An in-depth exploration of swap spreads, both in theory and practice, including a comprehensive discussion of various basis swaps and their combinations.

The integration of credit default swaps into yield curve analysis, providing valuable insights.

A classification of option trades into three distinct types and the corresponding analysis tools.

Fitted curve techniques for identifying relative value among different bonds.

A multi-factor delivery option model for bond future contracts, adding another dimension to bond valuation.

Fixed Income Relative Value Analysis has established itself as an indispensable desk reference for buy- and sell-side fixed income professionals, encompassing traders, quantitative analysts, portfolio managers, financial engineers, fixed income salespeople serving sophisticated clientele, and risk managers. Its comprehensive coverage, practical insights, and user-friendly approach make it a must-have resource for anyone seeking to excel in the field of fixed income analysis.

Weight: 778g
Dimension: 235 x 162 x 34 (mm)
ISBN-13: 9781394189083
Edition number: 2 ed