Book description
“A seminal work that contains the seeds of many of the pricing and risk management tools used in interest-rate markets today.“
Alan White, Professor of Finance, University of Toronto
Book details
- ISBN
- 9781899332724
- Publish date
- 1 Oct 1999
- Format
- Size
- 155mm x 235mm
Author biography
Frederick R. Macaulay
Table of contents
Preface by Wesley C. Mitchel
I. Introduction
II. The Concept of Long Term Interest Rates
III. Some Theoretical and Practical Difficulties of Comparing Long Term Interest Rates at Different and Especially at Widely Separated Dates
IV. The Relation of the Movements of Bond Yields to the Grades of the Bonds - Economic ’Drift’
V. Bond Yields, Economic ’Drift’, and the Prices of Common Stocks
VI. Interest Rates and Commodity Prices
VII. Factual Leads and Lags and Empirical Forecasting
List of Tables
List of Charts
Appendix
Tables
Professor Irving Fisher’s Statistical Measures of ’Price Change’
The Meaning of Gold Yields of Bonds Payable
Principal and Interest in Currency
Methods for Computing Cyclical and Trend
Graduations and Moving Seasonals
Short Term Interest Rates
Testimonials
“To the extent the modern world is a product of the efficency of capital markets and the ability to calculate and understand the risk in those markets, then clearly we owe an enourmous debt to Frederick Macaulay.“
John Harding, Vice President, Product Research & Development, Chicago Board of Trade
