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Extracting Information from Asset Prices: the Methodology of EMU Calculators
Carlo A. Favero / Fabrizio Iacone / Francesco Giavazzi / Guido Tabellini
interest rates / term structure modelsResource overview

Extracting Information from Asset Prices: the Methodology of EMU Calculators

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by Carlo A. Favero, Fabrizio Iacone, Francesco Giavazzi, Guido Tabellini

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interest ratesterm structure models

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  1. The Bank Account, Short Rate, and the Fundamental Pricing Equation

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  2. DV01, Dollar Duration, and One-Factor Price Sensitivity

    Translate yield movements into first-order price risk.

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  2. The Vasicek Model: Mean Reversion, Affine Bond Prices, and the Gaussian Distribution

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