Table of Contents

Primary Article

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  Replicating Bond Indices with Liquid Derivatives

  Lev Dynkin, Anthony Gould and Vadim Konstantinovsky

  The Journal of Fixed Income Spring 2006, 15 (4) 7-19; DOI: https://doi.org/10.3905/jfi.2006.627827
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  Profiting from Mean-Reverting Yield Curve Trading Strategies

  Choong Tze Chua, Winston T.H. Koh and Krishna Ramaswamy

  The Journal of Fixed Income Spring 2006, 15 (4) 20-33; DOI: https://doi.org/10.3905/jfi.2006.627836
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  The Term Structure of Mortgage Rates

  Ranjit Bhattacharjee and Lakhbir S. Hayre

  The Journal of Fixed Income Spring 2006, 15 (4) 34-47; DOI: https://doi.org/10.3905/jfi.2006.627837
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  Bond Portfolio Optimization

  Olaf Korn and Christian Koziol

  The Journal of Fixed Income Spring 2006, 15 (4) 48-60; DOI: https://doi.org/10.3905/jfi.2006.627839
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  Additional Analytical Approximations of the Term Structure and Distributional Assumptions for Jump-Diffusion Processes

  J. Benson Durham

  The Journal of Fixed Income Spring 2006, 15 (4) 61-73; DOI: https://doi.org/10.3905/jfi.2006.627840
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  Factor Dependence and Estimation Risk for Cap-Related Interest Rate Exotics

  Jeroen Kerkhof

  The Journal of Fixed Income Spring 2006, 15 (4) 74-83; DOI: https://doi.org/10.3905/jfi.2006.627842