Tuckman, Chapter 8, The Evolution of Short Rates and the Shape of the Term Structure, is a 31 minute instructional video analyzing the following concepts:
* Explain the role of interest rate expectations in determining the shape of the term structure.
* Apply a risk-neutral interest rate tree to assess the effect of volatility on the shape of the term structure.
* Estimate the convexity effect using Jensen’s inequality.
* Evaluate the impact of changes in maturity, yield and volatility on the convexity of a security.
* Calculate the price and return of a zero coupon bond incorporating a risk premium.