Advanced Fixed Income Analytics

Preface.

1. An Empirical Analysis of Yield Curve Dynamics.

Fundamental Factors Driving the Evolution of the Yield Curve.

Going Beyond the Fundamentals: Nuances of the Yield Curve.

2. Term Structure Models: A Portfolio Manager's Guide.

Setting the Scene.

Basic Concepts of Interest Rate Option Models.

Relative Merits of Different Term Structure Models.

Option Models in Practice.

3. Quantitative Approaches to Inflation-Indexed Bonds.

Inflation-Indexed Bonds and Real Yields.

Inflation-Indexed Bonds in a Nominal Portfolio.

Advanced Analysis Approaches to Inflation-Indexed Bonds.

4. Long Bond Pricing Paradoxes and Long-Term Yields.

Analysis of the Convexity Bias.

Theorems about Very Long-Term Interest Rates.

A Very Long-Term Analysis of the Bond Market.

5. Prepayment Analysis and Prepayment Model Risk.

Prepayment Models: Goals, Construction, Fitting, Evaluation.

Prepayment Model Risk.

6. Measures of Non Yield Curve Risk and Risk/Return.

Setting the Scene: The Concept of OAS.

Advanced Risk Measures.

Relative Value Analysis for Mortgages.

Appendix: Default Risk and Default Spreads.

7. Risk Measurement and Performance Attribution.

Classifying Risk Measurement Tools.

Interpreting the Results of Performance Attribution.

Relating Different Frameworks for Performance Attribution.

Index.