Index

  • 30 Year bonds 8
  • A
  • ALM see Asset–liability management
  • Analysis
    • callable bonds 336–339
    • compounding 222–224
    • continuous time 66–89
    • expectations hypothesis 32–38
    • forward yield curve 30–32
    • liquidity preference theory 38–40
    • negative interest rates 219–227
    • post‐2008 193–210
    • putable bonds 338–339
    • relative value 9, 283–288
    • segmentation hypothesis 40–42
    • spot rates 23–24, 52–53
    • yield measurement 321–352
    • see also Pricing
  • Ancillary yield curves 291–319
  • Anderson–Sleath model 266–271
  • Arbitrage 68–70, 73–75
  • Arbitrage‐free models 96, 150–157, 172
    • Black–Derman–Toy model 140, 156–157
    • fitting 157–158
    • Ho–Lee model 151–153, 158
    • Hull–White model 100, 147, 153–156, 158
    • multi‐factor HJM model 166–169
  • Arithmetic average 81
  • Assessment of models 170–171
  • Asset–liability management (ALM) 40, 219–227
  • Asset price dynamics 115–136
    • bond price equation 129–130
    • Brownian motion 117–120, 126–127
    • generalised Wiener process 122–124, 148–149
    • Ho–Lee model 151–153, 158
    • interest rate uncertainty 130–131
    • Itô's lemma 100–101, 127–128, 132–134
    • Martingale property 120–122
    • modelling 124–135
    • Poisson processes 117–118
    • stochastic processes 116–124, 126–134
    • Wiener processes 117–120, 127–128
  • Assumed inflation rates 187–188
  • Average return 27, 76

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