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Bond Funds

Felix Salmon, Reuters,  Bond-fund charts of the day, rising-rates edition, here.

These charts ultimately come out of a conversation I had with Emanuel Derman, and this clever tool from skewtosis. They’re also purely about interest-rate risk, rather than credit risk: the duration points and initial yields for the first chart correspond to the figures for the 1-year, 2-year, 3-year, 5-year, 7-year, and 10-year Treasury bonds.

When Rates Rise, here.

Emanuel Derman, Blog, Lectures on The Smile (2008), here. The Blog is the best thing you will see in a week. You’re welcome.

These are twelve 2008 lectures on the Smile from a course I teach at Columbia. See the attached files. It has been modified a little since then and I will eventually write them up too. But meanwhile I have restored these from my previous website.

If I could I would follow Dirac’s dictum: “I am not interested in proofs, but only in what nature does.”

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