Sorry, this item is currently unavailable.

Fixed Income Relative Value Analysis, + Website A Practitioners Guide to the Theory, Tools, and...

ISBN: 9781118477199 | 1118477197
Edition: 1st
Format: Hardcover
Publisher: Bloomberg Press
Pub. Date: 7/29/2013

Why Rent from Knetbooks?

Because Knetbooks knows college students. Our rental program is designed to save you time and money. Whether you need a textbook for a semester, quarter or even a summer session, we have an option for you. Simply select a rental period, enter your information and your book will be on its way!

Top 5 reasons to order all your textbooks from Knetbooks:

  • We have the lowest prices on thousands of popular textbooks
  • Free shipping both ways on ALL orders
  • Most orders ship within 48 hours
  • Need your book longer than expected? Extending your rental is simple
  • Our customer support team is always here to help
As western governments issue increasing amounts of debt, the fixed income markets have never been more important. Yet the methods for analyzing these markets have failed to keep pace with recent developments, including the deterioration in the credit quality of many sovereign issuers. In Fixed Income Relative Value Analysis, Doug Huggins and Christian Schaller address this gap with a set of analytic tools for assessing value in the markets for government bonds, interest rate swaps, and related basis swaps, as well as associated futures and options.

Taking a practitioner’s point of view, the book presents the theory behind market analysis in connection with tools for finding and expressing trade ideas. The extensive use of actual market examples illustrates the ways these analytic tools can be applied in practice.

The book covers:

  • Statistical models for quantitative market analysis, in particular mean reversion models and principal component analysis.
  • An in-depth approach to understanding swap spreads in theory and in practice.
  • A comprehensive discussion of the various basis swaps and their combinations.
  • The incorporation of credit default swaps in yield curve analysis.
  • A classification of option trades, with appropriate analysis tools for each category.
  • Fitted curve techniques for identifying relative value among different bonds.
  • A multi-factor delivery option model for bond future contracts.

Fixed Income Relative Value Analysis provides an insightful presentation of the relevant statistical and financial theories, a detailed set of statistical and financial tools derived from these theories, and a multitude of actual trades resulting from the application of these tools to the fixed income markets. As such, it’s an indispensable guide for relative value analysts, relative value traders, and portfolio managers for whom security selection and hedging are part of the investment process.

Please wait while this item is added to your cart...