Fixed Income Relative Value Analysis + Website: A Practitioner’s Guide to the Theory, Tools, and Trades, 2nd Edition

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.

AN INVALUABLE GUIDE FOR FIXED INCOME PRACTITIONERS, FULLY UPDATED TO INCORPORATE THE SHIFT FROM LIBOR TO SOFR

Since its first edition in 2013, Fixed Income Relative Value Analysis: A Practitioner’s Guide to the Theory, Tools, and Trades has become the gold standard for guides linking financial theories with practical analysis tools. The newly revised second edition reflects both the progress in statistical tools over the last decade and the impact of the transition to SOFR on swap spreads.

You’ll find a set of statistical and financial tools, a multitude of actual trades resulting from the application of these tools, as well as access to a companion website featuring spreadsheets illustrating some of the models contained in the book.

This book covers:

• Statistical models for quantitative market analysis, in particular mean reversion models and principal component analysis, now including multi-variate Ornstein-Uhlenbeck.
• An in-depth approach to understanding swap spreads in theory and 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 into three types and the appropriate analysis tools.
• Fitted curve techniques for identifying relative value among different bonds.
• A multi-factor delivery option model for bond future contracts.

A must-read desk reference for buy- and sell-side fixed income professionals, including traders, quantitative analysts, portfolio managers, and financial engineers, Fixed Income Relative Value Analysis will also appeal to fixed income salespeople with sophisticated clientele and risk managers.