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Paper / 2024SMQ / 18836839149625
Zero-Coupon Treasury Rates and Returns using the Volatility Index
Andrey Sarantsev / Jihyun Park
fixed income / interest ratesResource overview

Zero-Coupon Treasury Rates and Returns using the Volatility Index

Paper2024

by Andrey Sarantsev, Jihyun Park

Tags
fixed incomeinterest ratesstatisticsstochastic processesterm structure modelstime series

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

Before you read

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

    Follow diffusion-based models and their assumptions.

  2. ARCH and GARCH

    Separate conditional volatility from observed returns.

  3. The Bank Account, Short Rate, and the Fundamental Pricing Equation

    Understand discounting in a stochastic-rate model.

  4. DV01, Dollar Duration, and One-Factor Price Sensitivity

    Translate yield movements into first-order price risk.

Go further

  1. Stochastic Volatility and the Heston Model

    Study a correlated stochastic-variance model.

  2. Reading the Implied Vol Surface — Moneyness, Term Structure, and Quoting Conventions

    Interpret prices across strikes and expiries.

  3. Bootstrapping the Spot Curve from Market Instruments

    Build a consistent discount curve.

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Lesson links open public previews. Access to full lessons depends on the topic and your membership.

Explore Advanced Derivatives and Exotic Options Explore Fixed Income and Interest-Rate Models

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