Relative value trading book
Looks like you are currently in Armenia but have requested a page in the United States site. Would you like to change to the United States site? Doug Huggins , Christian Schaller. The extensive use of actual market examples illustrates the ways these analytic tools can be applied in practice. 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. View Instructor Companion Site.
Trading the Fixed Income, Inflation and Credit Markets: A Relative Value Guide
No eBook available Wiley. This relatively unique approach to relative value highlights the pricing links between the different products and how these relationships can be used as the basis for a number of trading strategies. The book begins by looking at the main derivative products and their pricing interrelationships. The nature of these interrelationships means that there may be a variety of different ways in which a particular strategy can be expressed.
It then moves on to relative value within a fixed income context and looks at strategies that build on the pricing relationships between products as well as those that focus on how to identify the optimal way to express a view on the movement of the yield curve. It concludes by taking the main themes of relative value and showing how they can be applied within other asset classes.
Although the main focus is fixed income the book does cover multiple asset classes including credit and inflation. Written from a practitioner's perspective, the book illustrates how the products are used by including many worked examples and a number of screenshots to ensure that the content is as practical and applied as possible.
Troy holds a B. Get print book. Neil C. Schofield , Troy Bowler. Trading the Fixed Income, Inflation and Credit Markets is a comprehensive guide to the most popular strategies that are used in the wholesale financial markets, answering the question: what is the optimal way to express a view on expected market movements? Pricing Relationships. Market Risk Management. Expressing Views on. Identifying Value in Sovereign Bonds. Trading the Yield Curve.
Relative Value in Credit. Relative Value in Inflation. Trading Axioms An A to 2. He teaches primarily on the rates business, covering all of the major asset classes and their respective derivative products from foreign exchange through to commodities. Before joining Barclays Capital, he was a director at Chisholm-Roth Training for 4 years, where he was responsible for provision of training services for a number of blue chip global investment banks.
He started his training career at Chase Manhattan Bank, where he was originally employed as an internal auditor. Over a period of nine years, he conducted numerous internal and external training seminars including the Bank of England and the Federal Reserve System in the USA. Neil holds a B. About the Authors.
Trading the Fixed Income, Inflation and Credit Markets: A Relative Value Interest Rate Markets: A Practical Approach to Fixed Income (Wiley Trading Book ). In Fixed Income Relative Value Analysis, Doug Huggins and Christian Schaller The book covers: Statistical models for quantitative market analysis, As such, it's an indispensable guide for relative value analysts, relative value traders, and.
Relative value can be defined as expected price convergence of contracts or portfolios with similar risk profiles. For fixed income this means similar exposure to duration, convexity and credit risk. The causes of relative value are limited arbitrage capital and aversion to the risk of persistent divergence.
Relative value is a method of determining an asset's worth that takes into account the value of similar assets.
Raymond Wang and Romain Denis, traders who focused on such deals, left after their portfolios slumped, the people said. Others have gained from the turmoil. While BlueCrest suffered some losses since the sell-off, the investment fund was up for this year through close of trading on Wednesday, one of the people said.
F# for Quantitative Finance by Johan Astborg
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Relative Value Hedge Fund Strategies
The financial instruments traded include government bonds, interest rate swaps and futures contracts. Most FI-RV Investors focus on large, long-term mispricings in the global fixed-income markets, capturing relative-value anomalies via multi-product trades. Trades of interest include:. Bond vs Bond Identify and trade bonds that are mispriced compared to other very similar bonds. Frequently, these above described anomalies occur when market participants are forced to make non-economic decisions due to accounting regulations, book clean-up, public furor or exuberance over a certain product, or sheer panic. When a mispricing is identified between products, FI-RV Investors have the freedom to wait until the anomaly corrects. In contrast, other market participants, such as bank proprietary desks, are often limited by balance sheet considerations and accounting standards which influence the size and timing of their trades. However, the irony of Long-Term Capital Management's failure is that they were correct on all of their trades and hedges.
No eBook available Wiley. This relatively unique approach to relative value highlights the pricing links between the different products and how these relationships can be used as the basis for a number of trading strategies.
Don't have an account? Relative value strategies, also called arbitrage strategies, are trading strategies that exploit mispricing in the financial markets among the same or related assets.
