Analysing and Interpreting the Yield Curve (Hardcover)

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.

Index.