Yield Curve Arbitrage and Market Interest Rates - Financial Theory

Explore the intricacies of yield curve arbitrage in this 75-minute lecture from Yale University's Financial Theory course. Discover how to determine market interest rates and zero coupon bond prices for various maturities using Treasury bond data. Learn about the replication method and the principle of duality to infer zero coupon bond prices, and understand how to calculate forward interest rates. Gain insights into traders' expectations of future Treasury bond price movements. The lecture covers key concepts including yield definition, market interest rate assessment, zero coupon bonds, forward interest rates, and future price calculations. This comprehensive exploration of yield curve dynamics is essential for anyone looking to deepen their understanding of financial markets and bond pricing mechanisms.

- Chapter 1. Defining Yield
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- Chapter 2. Assessing Market Interest Rate from Treasury Bonds
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- Chapter 3. Zero Coupon Bonds and the Principle of Duality
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- Chapter 4. Forward Interest Rate
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- Chapter 5. Calculating Prices in the Future and Conclusion
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