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Chapter 10. Fixed Income Securities. An introduction to the basic concepts of fixed-income securities is provided. The middle section of the chapter is centered around the immunization problem and estimating the zero-coupon term structure. OLS, spline, and nonlinear models are discussed. The last part of the chapter looks at the term structure of interest rates in the framework of the expectation hypothesis model. Theoretical results are compared with empirical findings.

Chapter 11. Term-Structure Models. As the authors declare in the opening statement of the chapter, this is devoted to exploring the large modern literature of fully specified general-equilibrium models of the the term structure of interest rates. This is done using a discrete time approach which is more suitable for econometric applications, the object of the text, but results are related to the continuous-time equivalents. The topics discussed cover affine-yield models, fitting term-structure models to the data when payoffs are riskless in nominal terms rather than in real terms, and pricing fixed-income derivative securities.

Chapter 12. Nonlinearities in Financial Data. An attempt to address several important issues related to modeling nonlinear structure in financial data. Several parametric nonlinear models for time series are discussed. The ARCH and GARCH families of models are introduced as tools to model changing volatilities. The reader can use it as an introduction to the ideas of the methodology and then can apply him/herself to the book by C. Gourieroux (1997). The basics of nonparametric regression are provided and their use in estimating state-price densities is also discussed. The last part of the chapter is devoted to neural networks and an application to the Black-Scholes formula is provided.