Yield Curve Dynamics : State of the Art Techniques for Modelling, Trading and Hedging

The American bond market currently measures over 1,000 government securities, over 10,000 corporate bonds, and well over 700,000 mortgage-backed securities. By some estimates the total market value is in excess of four trillion dollars. At the very heart of this burgeoning market is the U.S. Treasury yield curve, which controls the risk/reward behavior of most debt in America, and has a significant impact on the global debt markets as well.
Yield-Curve Dynamics is a breakthrough book that examines both advanced theory and practical application that is invaluable to financial professionals involved in risk management, trading, research, options, exotic derivatives, fixed-income, and currency markets.

Preface
Contributors

Part I : Bond Market Overview
Chapter 1 : Bond Market Solar Systems
Chapter 2 : The U.S. Treasury STRIPS: Valuation, Liability, and Asset Allocation Frontier

Part II : Yield Curves and Market Indices
Chapter 3 : The Content of Yields and Yield Spreads,
Chapter 4 : A Methodology for Market Rate Analysis and Forecasting
Chapter 5 : Historical Bond Market Risk/Reward Patterns
Chapter 6 : Bond Market Index Behavior: Applications for Bond Portfolio Management

Part III : Advances in Stochastic Pricing Models for Dynamic Assets
Chapter 7 : The Concept of Instantaneous Return
Chapter 8 : Linear Systems Theory in Stochastic Pricing Models
Chapter 9 : A Two-Factor Term-Structure Model

Part IV : Portfolio Management and Performance Measurement
Chapter 10 : Introducing a Comprehensive U.S. Treasury Bond Market Benchmark
Chapter 11 : The Risks of a Laddered Portfolio
Chapter 12 : Yield Curve Risk Management and Asset Allocation

Index