Analysing and interpreting the yield curve

Analysing and interpreting the yield curve / Moorad Choudhry.

"Understand and interpret the global debt capital markets Now in a completely updated and expanded edition, this is a technical guide to the yield curve, a key indicator of the global capital markets and the understanding and accurate prediction of which is critical to all market participants....

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Bibliographic Details
Main Author: Choudhry, Moorad
Format: eBook
Language:English
Published: Hichester, West Sussex : Wiley, 2019.
Edition:Second edition.
Series:Wiley finance
Subjects:
Bonds > Valuation > Econometric models.
BUSINESS & ECONOMICS > Banks & Banking.
BUSINESS & ECONOMICS > Finance.
Online Access:Click for online access
Table of Contents:
  • Cover; Title Page; Copyright; Contents; Foreword; Preface; Preface to the First Edition; Acknowledgments; About the Author; Part I Introduction to the Yield Curve; Chapter 1 The Yield Curve; The Yield Curve for Beginners; Yield to Maturity Yield Curve; The Coupon Yield Curve; The Par Yield Curve; The Zero-Coupon (or Spot) Yield Curve; Using Spot Rates in Bond Analysis; The Forward Yield Curve; Analysing and Interpreting the Yield Curve; An Introduction to Fitting the Yield Curve; Spot and Forward Rates in the Market; The Interest-Rate Swap Curve and the Sovereign Bond Curve
  • Appendix: Cubic spline interpolationSelected Bibliography and References; Chapter 2 A Further Look at Spot and Forward Rates; Zero-Coupon Bonds; Coupon Bonds; Bond Price in Continuous Time; Introduction to Bond Analysis Using Spot Rates and Forward Rates in Continuous Time; Appendices; Selected Bibliography and References; Part II Yield Curve Modelling and Post-2008 Yield Curve Analytics; Chapter 3 Interest Rate Modelling I: Primer on Basic Concepts; The Dynamics of the Yield Curve; Term Structure Modelling; Basic Concepts; Itô's Lemma; Approaches to Modelling
  • One-Factor, Two-Factor and Multi-Factor ModelsThe Short-Term Rate and the Yield Curve; Appendices; Selected Bibliography and References; Chapter 4 Interest Rate Modelling II: The Dynamic of Asset Prices; The Behaviour of Asset Prices; Stochastic Processes; Wiener Process or Brownian Motion; The Martingale Property; Generalised Wiener Process; A Model of the Dynamics of Asset Prices; Stochastic Calculus Models: Brownian Motion and Itô Calculus; Brownian Motion; Stochastic Calculus; Uncertainty of Interest Rates; Appendices; Selected Bibliography and References; Chapter 5 Interest Rate Models I
  • Interest Rate ModelsInterest Rate Processes; One-Factor Models; The Vasicek Model; The Merton Model; The Cox-Ingersoll-Ross Model; Arbitrage-Free Models; The Ho and Lee Model; The Hull-White Model; The Black-Derman-Toy Model; Fitting the Model; Summary; Selected Bibliography and References; Chapter 6 Interest Rate Models II; Multi-Factor Term Structure Models; The Multi-Factor Heath-Jarrow-Morton Model; Jump Models; Assessing One-Factor and Multi-Factor Models; Choosing a Term Structure Model; Importance of Practicality; Selected Bibliography and References; References on Estimation Method
  • Chapter 7 The Index-Linked Bond Yield CurveIndex-Linked Bonds and Real Yields; The Real Term Structure of Interest Rates; The term structure of implied forward inflation rates; Estimating the Real Term Structure; Fitting the discount function; Deriving the term structure of inflation expectations; Application; Selected Bibliography and References; Chapter 8 Yield Curve Analytics in the Post-2008 Era; Overnight Index Swap (OIA) Yield Curve; Post-Crash Discounting Principles for Yield-Curve Construction; Four Curves: Sovereign, Libor, OIS, and Internal Funding Curve; Appendix

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