Advanced Fixed Income Analytics (Frank J. Fabozzi Series)

Rating:
Summary: Advanced enough to be controversial.
Review: Dr. Phoa tackles a variety of advanced (occasionally esoteric) topics in Fixed Income. The author manages to describe some fairly complicated math in an intuitive and understandable way, while maintaining some degree of rigor. The field is huge, and in order to cover so much in so few pages, a background in the bond markets is assumed. Excellent discussions on empirical analysis of yield curve movements, valuation of bond options using one- and two-factor interest rate models, and mortgage prepayment modeling are highlights.

As opposed to nearly all other books on Fixed Income Analytics, Phoa presents interpretations of the analysis. The result is much less textbook-like, and much more intellectually engaging. While I do not agree with all of his conclusions, his arguments are well crafted and substantiated.