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Paper / 1999SMQ / 123579708423552
Monetary Policy and Market Interest Rates
Ellingsen, Tore / Söderström, Ulf
interest ratesResource overview

Monetary Policy and Market Interest Rates

Paper1999

by Ellingsen, Tore, Söderström, Ulf

Tags
interest rates

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Suggested foundations for rates and fixed income. Specialist prerequisites vary by paper.

Before you read

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

    Understand discounting in a stochastic-rate model.

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

    Translate yield movements into first-order price risk.

Go further

  1. Bootstrapping the Spot Curve from Market Instruments

    Build a consistent discount curve.

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

    Study a tractable mean-reverting rate model.

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