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Understanding the Excess Bond Premium
Charles Martineau / Ing-Haw Cheng / John Hull / Jun Yuan / Kevin Benson / Vasily Strela / Yoshio Nozawa / Yuntao Wu
fixed incomeResource overview

Understanding the Excess Bond Premium

Paper2024

by Charles Martineau, Ing-Haw Cheng, John Hull, Jun Yuan, Kevin Benson, Vasily Strela, Yoshio Nozawa, Yuntao Wu

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fixed income

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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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