Doug Huggins, Christian Schaller

Gebundenes Buch

Fixed Income Relative Value Analysis + Website

A Practitioner's Guide to the Theory, Tools, and Trades

Beschreibung

In the newly revised second edition of Fixed Income Relative Value Analysis: A Practitioner's Guide to the Theory, Tools, and Trades, a team of veteran fixed income experts delivers a fully up-to-date desk reference to the statistical and financial theories underpinning the fixed income markets. The book offers a detailed and robust set of tools you can use to assist in both buy- and sell-side transactions and comes complete with a host of examples of actual trades resulting from the application of these tools and access to a companion website featuring working implementations of some of the included mathematics and models explained inside.   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.

Autor

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.

Produktdetails

• The Wiley Finance Series
• Verlag: John Wiley & Sons Inc
• 2 ed
• Seitenzahl: 432
• Erscheinungstermin: 1. April 2024
• Englisch
• Abmessung: 230mm x 160mm x 30mm
• Gewicht: 778g
• ISBN-13: 9781394189083
• ISBN-10: 1394189087
• Artikelnr.: 69035724