Bond pricing and yield-curve modelling : a structural approach

Description

Part I. The Foundations: 1. What this book is about 2. Definitions, notation, and a few mathematical results 3. Links between models, monetary policy, and the macroeconomy 4. Bonds: their risks and their compensations 5. The risk factors in action 6. Principal components: theory 7. Principal components: empirical results Part II. The Building Blocks - A First Look: 8. A preview - a first look at the Vasicek model 9. Expectations 10. Convexity - a first look Part III. No Arbitrage: 11. No arbitrage in discrete time 12. No arbitrage in continuous time 13. No arbitrage with state price deflators 14. No-arbitrage conditions for real bonds 15. The links with an economics-based description of rates Part IV. Solving the Models: 16. Solving affine models: the Vasicek case 17. First extensions 18. A general pricing framework 19. The shadow rate: dealing with a near-zero lower bound Part V. The Value of Convexity: 20. The value of convexity 21. A model-independent approach to valuing convexity 22. Convexity: empirical results Part VI. Excess Returns: 23. Excess returns: setting the scene 24. Risk premia, the market price of risk, and expected excess returns 25. Excess returns: empirical results 26. Excess returns: the recent literature - I 27. Excess returns: the recent literature - II 28. Why is the slope a good predictor? 29. The spanning problem revisited Part VII. What the Models Tell Us: 30. The doubly-mean-reverting Vasicek model 31. Real yields, nominal yields, and inflation: the D'Amico-Kim-Wei model 32. From snapshots to structural models: the Diebold and Rudebush approach 33. Principal components as state variables of affine models: the PCA affine approach 34. Generalizations: the ACM model 35. An affine, stochastic-market-price-of-risk model 36. Conclusions 37. References.