A Basic Model of Bond Markets

Eliezer Z Prisman

Chapter 2 in Lecture Notes in Fixed Income Fundamentals, 2017, pp 19-67 from World Scientific Publishing Co. Pte. Ltd.

Abstract: In Chapter 1 we revisited the concept of time value of money and its relation to opportunity cost, but over a one period model. We did touch upon multi period models but only under the assumption that the interest rate from period to period is the same: a phenomena referred to as a flat term structure of interest rate.

Keywords: Fixed Income; Bond Markets; Term Structure of Interest Rates; Forwards; Bond Arbitrage (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
Date: 2017
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