Lecture 9 - Yield Curve Arbitrage
Download yalemecon251f09_geanakoplos_lec09_01.mp4 (Video - generic video source 871.2 MB)
Download yalemecon251f09_geanakoplos_lec09_01.flv (Video 375.7 MB)
Download yalemecon251f09_geanakoplos_lec09_01.wmv (Video 337.4 MB)
Report a problem or upload filesIf you have found a problem with this lecture or would like to send us extra material, articles, exercises, etc., please use our ticket system to describe your request and upload the data.
Enter your e-mail into the 'Cc' field, and we will keep you updated with your request's status.
Where can you find the market rates of interest (or equivalently the zero coupon bond prices) for every maturity? This lecture shows how to infer them from the prices of Treasury bonds of every maturity, first using the method of replication, and again using the principle of duality. Treasury bond prices, or at least Treasury bond yields, are published every day in major newspapers. From the zero coupon bond prices one can immediately infer the forward interest rates. Under certain conditions these forward rates can tell us a lot about how traders think the prices of Treasury bonds will evolve in the future.
Link this pageWould you like to put a link to this lecture on your homepage?
Go ahead! Copy the HTML snippet !