Cover -- Title Page -- Copyright -- Contents -- Foreword -- Preface -- Preface to the First Edition -- Acknowledgments -- About the Author -- Part I Introduction to the Yield Curve -- Chapter 1 The Yield Curve -- The Yield Curve for Beginners -- Yield to Maturity Yield Curve -- The Coupon Yield Curve -- The Par Yield Curve -- The Zero-Coupon (or Spot) Yield Curve -- Using Spot Rates in Bond Analysis -- The Forward Yield Curve -- Analysing and Interpreting the Yield Curve -- An Introduction to Fitting the Yield Curve -- Spot and Forward Rates in the Market -- The Interest-Rate Swap Curve and the Sovereign Bond Curve -- Appendix: Cubic spline interpolation -- Selected Bibliography and References -- Chapter 2 A Further Look at Spot and Forward Rates -- Zero-Coupon Bonds -- Coupon Bonds -- Bond Price in Continuous Time -- Introduction to Bond Analysis Using Spot Rates and Forward Rates in Continuous Time -- Appendices -- Selected Bibliography and References -- Part II Yield Curve Modelling and Post-2008 Yield Curve Analytics -- Chapter 3 Interest Rate Modelling I: Primer on Basic Concepts -- The Dynamics of the Yield Curve -- Term Structure Modelling -- Basic Concepts -- Itô's Lemma -- Approaches to Modelling -- One-Factor, Two-Factor and Multi-Factor Models -- The Short-Term Rate and the Yield Curve -- Appendices -- Selected Bibliography and References -- Chapter 4 Interest Rate Modelling II: The Dynamic of Asset Prices -- The Behaviour of Asset Prices -- Stochastic Processes -- Wiener Process or Brownian Motion -- The Martingale Property -- Generalised Wiener Process -- A Model of the Dynamics of Asset Prices -- Stochastic Calculus Models: Brownian Motion and Itô Calculus -- Brownian Motion -- Stochastic Calculus -- Uncertainty of Interest Rates -- Appendices -- Selected Bibliography and References -- Chapter 5 Interest Rate Models I.
