Abstract
Chapter 4 introduced the concept of the yield curve. The analysis and valuation of debt market instruments revolves around the yield curve. Yield curve or term structure modelling has been extensively researched in the financial economics literature; it is possibly the most heavily covered subject in that field. It is not possible to deliver a comprehensive summary in just one chapter, but our aim is to cover the basic concepts. As ever, interested readers are directed to the bibliography, which lists the more accessible titles in this area.
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Selected references and bibliography
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© 2010 Moorad Choudhry, Didier Joannas, Gino Landuyt, Richard Pereira and Rod Pienaar
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Choudhry, M., Joannas, D., Landuyt, G., Pereira, R., Pienaar, R. (2010). Interest Rate Modelling. In: Capital Market Instruments. Palgrave Macmillan, London. https://doi.org/10.1057/9780230279384_7
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DOI: https://doi.org/10.1057/9780230279384_7
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