Bond Futures Part 1: Physical Settlement, Open Interest, and Basis
Fixed Income Trading and Risk Management by Alexander Düring (ISBN 9781119756354)
Previous: Residential Mortgage-Backed Securities | Next: Bond Futures Part 2
Fixed Income Trading and Risk Management by Alexander Düring
Bond Futures Part 2: Hedging, Rolls, Squeezes, and Cash Settlement
Fixed Income Trading and Risk Management by Alexander Düring (ISBN 9781119756354)
Previous: Bond Futures Part 1 | Next: Swaps
Part 1 set up basis and conversion factors. Part 2 is where bond futures get weird: hedging ratios that change when CTD switches, rolls that are not one-for-one, and squeezes that show up in repo before they show up in delivery.
Swaps: The Market That Reshaped Fixed Income
Fixed Income Trading and Risk Management by Alexander Düring (ISBN 9781119756354)
Previous: Bond Futures Part 2 | Next: Trading Principles
Chapter 29 is a pivot. After weeks of bonds, futures, and basis math, Düring steps back and asks: what are swaps, and why did they change everything?
Trading Principles: Rationale, Stops, and Why Consistency Beats Cleverness
Fixed Income Trading and Risk Management by Alexander Düring (ISBN 9781119756354)
Previous: Swaps | Next: Curve Trading
The book shifts from instruments to process. Chapter 30 is Düring’s trading philosophy chapter, and it is refreshingly blunt about luck.
Curve Trading: Steepeners, Butterflies, and What PCA Reveals
Fixed Income Trading and Risk Management by Alexander Düring (ISBN 9781119756354)
Previous: Trading Principles | Next: Bond Trading
Curve trading sounds like one idea: bet on shape changes. Chapter 31 shows how many distinct bets hide inside that phrase, and how carry and bond idiosyncrasies complicate every one.
Bond Trading: Relative Value Beyond the Curve
Fixed Income Trading and Risk Management by Alexander Düring (ISBN 9781119756354)
Previous: Curve Trading | Next: Principal Component Analysis
Chapter 31 was curve shape. Chapter 32 is bond-specific: when you care which German 5Y is cheap versus another, not whether the whole curve steepens.
Principal Component Analysis for Fixed Income Risk
Fixed Income Trading and Risk Management by Alexander Düring (ISBN 9781119756354)
Previous: Bond Trading | Next: Bond Index Mechanics
PCA shows up throughout Düring’s book. Chapter 33 is the dedicated tutorial: what it is, when to use levels vs changes, and why it beats ordinary regression for hedge ratios.
Bond Index Mechanics: What Makes an Index Investable
Fixed Income Trading and Risk Management by Alexander Düring (ISBN 9781119756354)
Previous: Principal Component Analysis | Next: Portfolio Risk Management
Bond indices look objective. Chapter 34 is short and technical about why they are actually two maps: who is in the index, and at what price.
Portfolio Risk Management and Index Tracking
Fixed Income Trading and Risk Management by Alexander Düring (ISBN 9781119756354)
Previous: Bond Index Mechanics | Next: Hedging
Part VII turns from tickets to books. Chapter 35 asks how you neutralize a portfolio against pricing factors, and how passive managers fake holding “the market” without buying every bond.
Hedging: Duration, Regression, and Model-Based Approaches
Fixed Income Trading and Risk Management by Alexander Düring (ISBN 9781119756354)
Previous: Portfolio Risk Management | Next: Mean-Variance Optimisation
Hedging is adding a liquid offset so an existing position stops moving with the market. Chapter 36 walks three rungs of sophistication: same-yield DV01, regression, and full curve model.
Mean-Variance Optimisation: Efficient Frontiers and Fixed Income Limits
Fixed Income Trading and Risk Management by Alexander Düring (ISBN 9781119756354)
Previous: Hedging | Next: Portfolio Rebalancing
Markowitz is the textbook default for portfolio choice. Chapter 37 walks it carefully, then shows where fixed income breaks the assumptions.
Portfolio Rebalancing: What Your Strategy Assumes About Returns
Fixed Income Trading and Risk Management by Alexander Düring (ISBN 9781119756354)
Previous: Mean-Variance Optimisation | Next: Selected Global Bond Markets
A portfolio question with three valid answers sounds like a trick exam. Chapter 38 starts there.
Selected Global Bond Markets: A Desk Reference Tour
Fixed Income Trading and Risk Management by Alexander Düring (ISBN 9781119756354)
Previous: Portfolio Rebalancing | Next: Series Finale
The last numbered chapter is a field guide. Düring does not try to teach theory here. He gives tickers, conventions, and issuance quirks you would otherwise learn from six months of desk chatter.