 Analysing and Interpreting the Yield Curve
ISBN: 978-0-470-82125-1
Hardcover
300 pages
February 2004
US $150.00
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Preface.
PART I: INTRODUCTION TO BOND YIELD AND THE YIELD CURVE.
Chapter 1. Bond Yield Measurement.
Chapter 2. The Yield Curve.
Chapter 3. A Further Look at Spot and Forward Rates.
PART II: YIELD CURVE MODELING.
Chapter 4. Interest Rate Modeling Part I: An Introduction to Basic Concepts.
Chapter 5. Interest Rate Modeling Part II: Dynamics of Asset Prices.
Chapter 6. Interest Rate Models: Part I.
Chapter 7. Interest Rate Models: Part II.
Chapter 8. The Index-linked Bond Yield Curve.
Chapter 9. Analysing the Long Bond Yield.
PART III: FITTING THE YIELD CURVE.
Chapter 10. Estimating and Fitting the Curve: Part I.
Chapter 11. Estimating and Fitting the Curve: Part II.
PART IV: THE YIELD CURVE AND RELATIVE-VALUE TRADING.
Chapter 12. Yield Curves and Relative Value.
Chapter 13. Approaches to Yield Spread Trading Using Government Bonds.
Index.
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