Choudhry, Moorad Analysing and Interpreting the Yield Curve
1. Edition - February 2004 97.90 Euro 2004. 300 Pages, Hardcover ISBN-10: 0-470-82125-6 ISBN-13: 978-0-470-82125-1 - John Wiley & Sons
Short description The yield curve is the cornerstone of the global debt capital markets, and as such, its understanding is vital for the health of the global economy as a whole. Stripping away complicated mathematics to reveal basic concepts, Yield Curve Analysis provides readers with sufficient grounding to enable them to evaluate completely the current and expected shape of the yield curve. The aim is leave readers with the ability to extend their knowledge through further research of their own, as well as enable market professionals to have a better understanding of the latest analytical techniques related to this topic.
From the contents Foreword.
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.
