Buch, Englisch, Band 1, 382 Seiten, Format (B × H): 157 mm x 235 mm, Gewicht: 705 g
Reihe: Bloomberg Professional
A Practitioners Guide to the Theory, Tools, and Trades
Buch, Englisch, Band 1, 382 Seiten, Format (B × H): 157 mm x 235 mm, Gewicht: 705 g
Reihe: Bloomberg Professional
ISBN: 978-1-118-47719-9
Verlag: Wiley
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.
Autoren/Hrsg.
Fachgebiete
- Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Anlagen & Wertpapiere
- Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsmathematik und -statistik
- Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Börse, Rohstoffe
- Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Bankwirtschaft
Weitere Infos & Material
Foreword by Henry Ritchotte
Relative Value: a Practitioner's Guide vii
INTRODUCTION
CHAPTER 1
Relative Value 1
PART I: STATISTICAL MODELS 17
CHAPTER 2
Mean Reversion 19
CHAPTER 3
Principal Component Analysis 51
PART II: FINANCIAL MODELS 113
CHAPTER 4
Some Comments on Yield, Duration, and Convexity 115
CHAPTER 5
Bond Futures Contracts 121
CHAPTER 6
LIBOR, OIS Rates, and Repo Rates 137
CHAPTER 7
Intra-Currency Basis Swaps 153
CHAPTER 8
Theoretical Determinants of Swap Spreads 157
CHAPTER 9
Swap Spreads from an Empirical Perspective 169
CHAPTER 10
Swap Spreads as Relative Value Indicators for
Government Bonds 185
CHAPTER 11
Fitted Bond Curves 193
CHAPTER 12
A Brief Comment on Interpolated Swap Spreads 207
CHAPTER 13
Cross-Currency Basis Swaps 211
CHAPTER 14
Relative Values of Bonds Denominated in Different
Currencies 223
CHAPTER 15
Credit Default Swaps 245
CHAPTER 16
USD Asset Swap Spreads versus Credit Default Swaps 273
CHAPTER 17
Options 299
EPILOGUE
CHAPTER 18
Relative Value in a Broader Perspective 349
Bibliography 357
Index 359