Description

Book Synopsis

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 the multivariate Ornstein-Uhlenbeck model.
  • An in-depth ap

Fixed Income Relative Value Analysis Website

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    RRP £70.00 – you save £3.50 (5%)

    Order before 4pm today for delivery by Mon 27 Jul 2026.

    A Hardback by Christian Schaller

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      Publisher: John Wiley & Sons Inc
      Publication Date: Publication Date: 4/4/2024
      ISBN13: 9781394189083, 978-1394189083
      ISBN10: 1394189087
      Also in:
      Business, Finance & Law Investment and securities

      Description

      Book Synopsis

      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 the multivariate Ornstein-Uhlenbeck model.
      • An in-depth ap

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