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Paper / 2026SMQ / 50645543230094
Project Samara Research Paper
Alex Caridia / André Usche / Anne Boulanger / Caroline Cook / Chadrick Buffel / Chris Meston / Devon Read / Dinesh Shah / Kevin Fraites / M.J. Byrne / Marsha Loraas / Rakesh Arora / Scott Hendry / Sylvie Lacombe / Teresa Venturino / Umar Faruqui / Wally Forsyth
fixed incomeResource overview

Project Samara Research Paper

Paper2026

by Alex Caridia, André Usche, Anne Boulanger, Caroline Cook, Chadrick Buffel, Chris Meston, Devon Read, Dinesh Shah, Kevin Fraites, M.J. Byrne, Marsha Loraas, Rakesh Arora, Scott Hendry, Sylvie Lacombe, Teresa Venturino, Umar Faruqui, Wally Forsyth

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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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