Fixed-income Arbitrage: Analytical Techniques and Strategies

This is an introduction to the profit opportunities to be made the in arbitrage of fixed-income securities. It aims to provide a detailed and practical treatment of relative-value analysis and its applications. For each arbitrage strategy presented in this book, the underlying thought process, the associated risk/reward analysis, and the relevant money management discipline are illustrated using specific examples, as are treasury bills, bonds and notes, and interest-rate futures and options