Books Fixed Income Relative Value Analysis: A Practitioners Guide to the Theory, Tools, and Trades Book by Christian Schaller and Doug Huggins

Fixed Income Relative Value Analysis: A Practitioners Guide to the Theory, Tools, and Trades by Doug Huggins and Christian Schaller is a detailed and authoritative resource on analyzing and trading fixed income securities using relative value techniques. Now in its second edition (2024), the book addresses significant market changes since the 2008 financial crisis, including the transition from LIBOR to new reference rates like SOFR, increased regulation, and evolving risk factors.

The text bridges advanced financial theory with practical applications, covering quantitative models such as mean reversion and principal component analysis, and extending to key fixed income instruments including asset swaps, credit default swaps, basis swaps, and options. It also thoroughly examines the interactions among these instruments to provide a holistic understanding of relative value opportunities in global bond markets.

Key features include:

A solid foundation on relative value theory emphasizing arbitrage and pricing efficiency.

Extensive use of statistical and quantitative methods for identifying trading opportunities and risk management.

Detailed chapters on specialized instruments like asset swaps, CDS, basis swaps, including explanations of their drivers and the impact of regulation and liquidity.

Analysis of SOFR asset swap spreads as a modern market-relative value indicator.

Exploration of option pricing and option-based relative value trades.

Practical examples, case studies, and exercises supported by an online resource website with interactive tools.

The authors, both experienced industry professionals, blend academic rigor with real-world insights from their extensive careers in fixed income trading and research. The book is aimed at fixed income traders, portfolio managers, risk analysts, and academics seeking a comprehensive guide to relative value fixed income analysis in today’s complex markets.

Publication Details:

Publisher: Wiley Finance

Publication Year: 2024 (2nd edition)

Pages: 432

Format: Print and eBook available

This book stands out by combining rigorous theory with practical tools to help practitioners exploit inefficiencies in fixed income markets effectively, especially in the wake of evolving benchmarks and regulatory changes.

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