Understanding the Yield Curve

作者：AnttiIlmanen/RaymondIwanowski

出版社：SalomonBrothers

出版年：1995

页数：150

ISBN：9781198811203

内容简介
······

In recent years, advances have been made in the theoretical and the empirical analysis of the term structure of interest rates. However, such analysis is often very quantitative, and it rarely emphasizes practical investment applications. There appears to be a need to bridge the gap between theory and practice and to set up an accessible framework for sophisticated yield curve analysis.

目录
······

Part 1: Overview of Forward Rate Analysis

Part 2: Market's Rte Expectations and Forward Rates

Part 3: Does Duration Extension Enhance Long-Term Expected Returns?

Part 4: Forecasting U.S. Bond Returns

Part 5: Convexity Bias and the Yield Curve

Part 6: A Framework for Analyzing Yield Curve Trades

Part 7: The Dynamics of the Shape of the Yield Curve — Empirical Evidence, Economic Interpretations and Theoretical Foundations

评论 ······

我的妈耶豆瓣竟然有这本书！fixed income securities的参考读物，1995年Solomon Brothers出版的（这个年代感一下子就出来了）；不得不说这就是美帝金融业developed的地方，只需要看人家的机构上世纪做的这个研究…

antti早年的forward rate的theoretical作品。可当作参考

书中提出了一个分析国债收益率曲线的框架。系统性的思考能力，严谨的论述以及简明的总结很让人佩服。

这个是Salomon brothers研究美国国债的论文集，内容特别好。数学推导不多，剩下都是干货，有趣而且很有启发（最不喜欢的就是那种满篇公式代码吓唬人但其实作者解释不清楚其中的经济学道理/直觉的文章）。读完对duration，convexity，barbell trading等等很多很基本的东西有了全新的认识。对固定收益感兴趣的不容错过～

• 下载电子版：下载地址
• 购买纸质版：京东商城
• 购买纸质版：当当网