Includes bibliographical references and Index. [ p. 725 - 752]

Part I. The Foundations:
1. What this book is about
2. Definitions, notation, and a few mathematical results
3. Links between models, monetary policy, and the macroeconomy
4. Bonds: their risks and their compensations
5. The risk factors in action
6. Principal components: theory
7. Principal components: empirical results
Part II. The Building Blocks – A First Look:
8. A preview – a first look at the Vasicek model
9. Expectations
10. Convexity – a first look
Part III. No Arbitrage:
11. No arbitrage in discrete time
12. No arbitrage in continuous time
13. No arbitrage with state price deflators
14. No-arbitrage conditions for real bonds
15. The links with an economics-based description of rates
Part IV. Solving the Models:
16. Solving affine models: the Vasicek case
17. First extensions
18. A general pricing framework
19. The shadow rate: dealing with a near-zero lower bound
Part V. The Value of Convexity:
20. The value of convexity
21. A model-independent approach to valuing convexity
22. Convexity: empirical results
Part VI. Excess Returns:
23. Excess returns: setting the scene
24. Risk premia, the market price of risk, and expected excess returns
25. Excess returns: empirical results
26. Excess returns: the recent literature – I
27. Excess returns: the recent literature – II
28. Why is the slope a good predictor?
29. The spanning problem revisited
Part VII. What the Models Tell Us:
30. The doubly-mean-reverting Vasicek model
31. Real yields, nominal yields, and inflation: the D'Amico–Kim–Wei model
32. From snapshots to structural models: the Diebold and Rudebush approach
33. Principal components as state variables of affine models: the PCA affine approach
34. Generalizations: the ACM model
35. An affine, stochastic-market-price-of-risk model
36. Conclusions
37. References.
from the publisher's website.