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Fixed income relative value analysis : a practitioners guide to the theory, tools, and trades

Author: Doug Huggins; Christian Schaller
Publisher: Chichester, West Sussex, UK : Wiley/Bloomberg Press, [2013]
Series: Bloomberg financial series.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:

Provides a 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  Read more...

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Additional Physical Format: Online version:
Huggins, Doug, 1965-
Fixed income relative value analysis.
Chichester, West Sussex : John Wiley & Sons Inc., [2013]
(DLC) 2013009914
Document Type: Book
All Authors / Contributors: Doug Huggins; Christian Schaller
ISBN: 9781118477199 1118477197
OCLC Number: 829937221
Description: ix, 371 pages : illustrations ; 24 cm.
Contents: 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
Series Title: Bloomberg financial series.
Responsibility: Doug Huggins and Christian Schaller.
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