Motivated by an extensive literature showing that government bond yields exhibit a strong non-Markov property, in the sense that moving averages of long-lagged yields significantly improve the predictability of excess bond returns. We then develop a systematic approach of constructing non-Markov...

In this paper, we show that most existing Gaussian dynamic term structure models (GDTSMs) can be nested as special cases under a unified Heath-Jarrow-Morton (HJM)-based framework of GDTSM construction. Our study provides not only a systematic way to examine the commonality of many seemingly...

We build dynamic term structure models using a generalized structure of observable, forward-looking factors, where the dynamics of multi-horizon survey forecasts of inflation, output growth and monetary policy are modelled jointly with the physical process driving their realisations. When...

This chapter provides a foundation regarding the environment of alternative investing — or the participants, regulators, taxation and financial markets. The focus is on understanding the purposes and functions of these components to gain an understanding of why the investing environment is...

The purpose of this case is to provide an introduction to fixed income portfolio management. In addition, the case describes the story of Bill Gross and the founding of PIMCO.Bill Gross continues to work the same schedule since joining PIMCO in 1970; a rigorous and structured workday that begins at...