Analysing and Interpreting the Yield Curve

Front Cover
John Wiley & Sons, Dec 5, 2011 - Business & Economics - 256 pages
0 Reviews
The yield curve is the defining indicator of the global debt capital markets, and an understanding of it is vital to the smooth running of the economy as a whole. All participants in the market, be they issuers of capital, investors or banking intermediaries, will have a need to estimate, interpret and understand the yield curve. Fund managers that accurately predict the shape and direction of the curve will consistently outperform those that do not.

This groundbreaking new book offers:

  • An intuitive account of a very important technical subject, cutting through the mathematics to reveal key concepts
  • Market approaches to enable fund managers to evaluate the current and expected shape of the yield curve
  • An opportunity for market professionals to have an understanding of the latest analytical techniques.

Written by an experienced market practitioner, this book is a clear and accessible account of an important financial topic.


What people are saying - Write a review

We haven't found any reviews in the usual places.


Introduction to Bond
TheYield Curve
The Annuity Yield Curve
Money substitute hypothesis Segmentation hypothesis Interpreting the Yield Curve
AFurtherLook atSpotand
Basic Concepts
BondPrice in Continuous Time Forward Rates
Arbitragefree Models The Ho and Lee Model
The Indexlinked Bond Yield
Estimating and Fitting
Estimatingand Fitting
Bonds with call and putfeatures Yield to average life

InterestRate Models Part II
Yield Curve Modeling Chapter 4 InterestRate Modeling Part I An Introduction toBasic Concepts
The Behavior of Asset Prices
Brownian Motion and Itô Calculus Appendices Chapter 6 Interest Rate Models Part I Introduction
Approaches toYield Spread

Other editions - View all

Common terms and phrases

About the author (2011)

Moorad Choudhry is a vice-president in Structured Finance Services with JP Morgan Chase Bank in London. Prior to this he worked as a gilt-edged market maker and Treasury trader at ABN Amro Hoare Govett Sterling Bonds Limited, and as a sterling proprietary trader at Hambros Bank Limited. Moorad has lectured on the bond markets at the London School of Economics, the ISMA Centre in Reading, London Guildhall University and the International Faculty of Finance, and is a senior Fellow at the Centre for Mathematical Trading and Finance, CASS Business School, London. He is a Fellow of the Securities Institute and a Fellow of the Global Association of Risk Professionals. Moorad’s published work includes journal articles and books. He is also co-author of the book The Global Money Markets, written with Professor Frank Fabozzi. Moorad obtained an MA in Economics from the University of Reading and an MBA from Henley Management College. He is in the process of completing his PhD from Birkbeck, University of London. He is Editor of the Journal of Bond Trading and Management. 

Bibliographic information