Part I. The Foundations: 1. What this book is about
2. Definitions, notation, and a few mathematical results
3. Links between models, monetary policy, and the macroeconomy
4. Bonds: their risks and their compensations
5. The risk factors in action
6. Principal components: theory
7. Principal components: empirical results
Part II. The Building Blocks - A First Look: 8. A preview - a first look at the Vasicek model
9. Expectations
10. Convexity - a first look
Part III. No Arbitrage: 11. No arbitrage in discrete time
12. No arbitrage in continuous time
13. No arbitrage with state price deflators
14. No-arbitrage conditions for real bonds
15. The links with an economics-based description of rates
Part IV. Solving the Models: 16. Solving affine models: the Vasicek case
17. First extensions
18. A general pricing framework
19. The shadow rate: dealing with a near-zero lower bound
Part V. The Value of Convexity: 20. The value of convexity
21. A model-independent approach to valuing convexity
22. Convexity: empirical results
Part VI. Excess Returns: 23. Excess returns: setting the scene
24. Risk premia, the market price of risk, and expected excess returns
25. Excess returns: empirical results
26. Excess returns: the recent literature - I
27. Excess returns: the recent literature - II
28. Why is the slope a good predictor?
29. The spanning problem revisited
Part VII. What the Models Tell Us: 30. The doubly-mean-reverting Vasicek model
31. Real yields, nominal yields, and inflation: the D'Amico-Kim-Wei model
32. From snapshots to structural models: the Diebold and Rudebush approach
33. Principal components as state variables of affine models: the PCA affine approach
34. Generalizations: the ACM model
35. An affine, stochastic-market-price-of-risk model
36. Conclusions
37. References.