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The 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.
Fixed Income Relative Value Analysis contains 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.
Perfect for buy- and sell-side fixed income professionals, including quantitative analysts, portfolio managers, and financial engineers, Fixed Income Relative Value Analysis will 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.
The 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.
Fixed Income Relative Value Analysis contains 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.
Perfect for buy- and sell-side fixed income professionals, including quantitative analysts, portfolio managers, and financial engineers, Fixed Income Relative Value Analysis will 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.
DOUG HUGGINS, London, 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.
CHRISTIAN SCHALLER, Eisenstadt, 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.
In early 2017, Christian and Doug created QMA Analytics, a London-based firm providing analytic software for financial market participants.
Preface to the Second Edition vii
Chapter 1 Relative Value 1
Part I Statistical Models
Chapter 2 Mean Reversion 17
Chapter 3 Principal Component Analysis 51
Chapter 4 Multivariate Mean Reversion 111
Part II Financial Models
Chapter 5 Some Comments on Yield, Duration, and Convexity 137
Chapter 6 Some Comments on Yield Curve Models 143
Chapter 7 Bond Futures Contracts 149
Chapter 8 Fitted Bond Curves 167
Chapter 9 An Analytic Process for Government Bond Markets 183
Chapter 10 Overview of the Following Chapters: Asset, Basis, Credit Default Swaps and their Mutual Influences 187
Chapter 11 Reference Rates 193
Chapter 12 Asset Swaps 213
Chapter 13 Credit Default Swaps 233
Chapter 14 Intra-Currency Basis Swaps 265
Chapter 15 Cross-Currency Basis Swaps 271
Chapter 16 Combinations and Mutual Influences of Asset, Basis, and Credit Default Swaps 287
Chapter 17 Global Bond RV Via Fitted Curves and Via SOFR Asset Swap Spreads 307
Chapter 18 Other Factors Affecting Swap Spreads 321
Chapter 19 Options 335
Chapter 20 Relative Value in a Broader Perspective 385
Bibliography 393
Index 395
| Erscheinungsjahr: | 2024 |
|---|---|
| Fachbereich: | Betriebswirtschaft |
| Genre: | Wirtschaft |
| Rubrik: | Recht & Wirtschaft |
| Medium: | Buch |
| Inhalt: |
Preface to the Second Edition viiChapter 1 Relative Value 1Part I Statistical ModelsChapter 2 Mean Reversion 17Chapter 3 Principal Component Analysis 51Chapter 4 Multivariate Mean Reversion 111Part II Financial ModelsChapter 5 Some Comments on Yield
Dur |
| ISBN-13: | 9781394189083 |
| ISBN-10: | 1394189087 |
| Sprache: | Englisch |
| Einband: | Gebunden |
| Autor: |
Huggins, Doug
Schaller, Christian |
| Auflage: | 2nd edition |
| Hersteller: | Wiley |
| Maße: | 230 x 160 x 30 mm |
| Von/Mit: | Doug Huggins (u. a.) |
| Erscheinungsdatum: | 01.04.2024 |
| Gewicht: | 0,617 kg |
DOUG HUGGINS, London, 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.
CHRISTIAN SCHALLER, Eisenstadt, 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.
In early 2017, Christian and Doug created QMA Analytics, a London-based firm providing analytic software for financial market participants.
Preface to the Second Edition vii
Chapter 1 Relative Value 1
Part I Statistical Models
Chapter 2 Mean Reversion 17
Chapter 3 Principal Component Analysis 51
Chapter 4 Multivariate Mean Reversion 111
Part II Financial Models
Chapter 5 Some Comments on Yield, Duration, and Convexity 137
Chapter 6 Some Comments on Yield Curve Models 143
Chapter 7 Bond Futures Contracts 149
Chapter 8 Fitted Bond Curves 167
Chapter 9 An Analytic Process for Government Bond Markets 183
Chapter 10 Overview of the Following Chapters: Asset, Basis, Credit Default Swaps and their Mutual Influences 187
Chapter 11 Reference Rates 193
Chapter 12 Asset Swaps 213
Chapter 13 Credit Default Swaps 233
Chapter 14 Intra-Currency Basis Swaps 265
Chapter 15 Cross-Currency Basis Swaps 271
Chapter 16 Combinations and Mutual Influences of Asset, Basis, and Credit Default Swaps 287
Chapter 17 Global Bond RV Via Fitted Curves and Via SOFR Asset Swap Spreads 307
Chapter 18 Other Factors Affecting Swap Spreads 321
Chapter 19 Options 335
Chapter 20 Relative Value in a Broader Perspective 385
Bibliography 393
Index 395
| Erscheinungsjahr: | 2024 |
|---|---|
| Fachbereich: | Betriebswirtschaft |
| Genre: | Wirtschaft |
| Rubrik: | Recht & Wirtschaft |
| Medium: | Buch |
| Inhalt: |
Preface to the Second Edition viiChapter 1 Relative Value 1Part I Statistical ModelsChapter 2 Mean Reversion 17Chapter 3 Principal Component Analysis 51Chapter 4 Multivariate Mean Reversion 111Part II Financial ModelsChapter 5 Some Comments on Yield
Dur |
| ISBN-13: | 9781394189083 |
| ISBN-10: | 1394189087 |
| Sprache: | Englisch |
| Einband: | Gebunden |
| Autor: |
Huggins, Doug
Schaller, Christian |
| Auflage: | 2nd edition |
| Hersteller: | Wiley |
| Maße: | 230 x 160 x 30 mm |
| Von/Mit: | Doug Huggins (u. a.) |
| Erscheinungsdatum: | 01.04.2024 |
| Gewicht: | 0,617 kg |
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