by Laurens A. P. Swinkels, Miloš Vulanović, Nebojsa Dimic, Ramzi Benkraiem, Vanja Piljak
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Suggested foundations for rates and fixed income. Specialist prerequisites vary by paper.
Understand discounting in a stochastic-rate model.
Translate yield movements into first-order price risk.
Build a consistent discount curve.
Study a tractable mean-reverting rate model.