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1. An Empirical Analysis of Yield
Curve Dynamics
Fundamental Factors Driving the
Evolution of the Yield Curve
Going Beyond the Fundamentals:
Nuances of the Yield Curve
2. Term Structure Models: A
Portfolio Manager's Guide
Setting the Scene
Basic Concepts of Interest Rate
Option Models
Relative Merits of Different Term
Structure Models
Option Models in Practice
3. Quantitative Approaches to
Inflation-Indexed Bonds
Inflation-Indexed Bonds and Real
Yields
Inflation-Indexed Bonds in a Nominal
Portfolio
Advanced Analysis Approaches to
Inflation-Indexed Bonds
4. Long Bond Pricing Paradoxes and
Long-Term Yields
Analysis of the Convexity Bias
Theorems about Very Long-Term
Interest Rates
A Very Long-Term Analysis of the Bond
Market
5. Prepayment Analysis and
Prepayment Model Risk
Prepayment Models: Goals,
Construction, Fitting, Evaluation
Prepayment Model Risk
6. Measures of Non Yield Curve
Risk and Risk/Return
Setting the Scene: The Concept of OAS
Advanced Risk Measures
Relative Value Analysis for Mortgages
Appendix: Default Risk and Default
Spreads
7. Risk Measurement and
Performance Attribution
Classifying Risk Measurement Tools
Interpreting the Results of
Performance Attribution
Relating Different Frameworks for
Performance Attribution |
