Fixed Income Relative Value Analysis + Website

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.

• Preface to the Second Edition viiChapter 1 Relative Value 1Part I Statistical ModelsChapter 2 Mean Reversion 17Chapter 3 Principal Component Analysis 51Chapter 4 Multivariate Mean Reversion 111Part II Financial ModelsChapter 5 Some Comments on Yield, Duration, and Convexity 137Chapter 6 Some Comments on Yield Curve Models 143Chapter 7 Bond Futures Contracts 149Chapter 8 Fitted Bond Curves 167Chapter 9 An Analytic Process for Government Bond Markets 183Chapter 10 Overview of the Following Chapters: Asset, Basis, Credit Default Swaps and their Mutual Influences 187Chapter 11 Reference Rates 193Chapter 12 Asset Swaps 213Chapter 13 Credit Default Swaps 233Chapter 14 Intra-Currency Basis Swaps 265Chapter 15 Cross-Currency Basis Swaps 271Chapter 16 Combinations and Mutual Influences of Asset, Basis, and Credit Default Swaps 287Chapter 17 Global Bond RV Via Fitted Curves and Via SOFR Asset Swap Spreads 307Chapter 18 Other Factors Affecting Swap Spreads 321Chapter 19 Options 335Chapter 20 Relative Value in a Broader Perspective 385Bibliography 393Index 395