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Paper / 2024SMQ / 239296728892735
Supply and demand and the term structure of interest rates
Greenwood, Robin / Hanson, Samuel / Vayanos, Dimitri
fixed income / interest ratesResource overview

Supply and demand and the term structure of interest rates

Paper2024

by Greenwood, Robin, Hanson, Samuel, Vayanos, Dimitri

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fixed incomeinterest ratesterm structure models

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

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  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.

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  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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