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The incremental information in the yield curve about future interest rate risk
Bent Jesper Christensen / Bezirgen Veliyev / Mads Markvart Kjær
fixed income / interest ratesResource overview

The incremental information in the yield curve about future interest rate risk

Paper2021

by Bent Jesper Christensen, Bezirgen Veliyev, Mads Markvart Kjær

Tags
fixed incomeinterest ratesvolatility forecasting

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Suggested foundations for rates and fixed income and volatility models and surfaces. 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.

  3. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow diffusion-based models and their assumptions.

  4. ARCH and GARCH

    Separate conditional volatility from observed returns.

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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.

  3. Stochastic Volatility and the Heston Model

    Study a correlated stochastic-variance model.

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