by Jacob Boudoukh, Matthew Richardson, Robert Whitelaw, Tom Smith
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Suggested foundations for rates and fixed income and financial time series. Specialist prerequisites vary by paper.
Understand discounting in a stochastic-rate model.
Translate yield movements into first-order price risk.
Check whether a relationship can be estimated consistently over time.
Read the fitted relationship and its residuals.
Build a consistent discount curve.
Study a tractable mean-reverting rate model.
Study long-run relationships without confusing them with correlation.
Choose a reproducible strategy, specify the trading rule, and test what remains after costs and estimation uncertainty.