A collection of historically important and hard to find academic and industry research papers relevant to yield curve analysis, fixed-income, and the capital markets.

Instructions

  • click on any paper title to access the PDF or source
  • papers are organized by source
  • click the sparkle button to discuss any paper with ChatYCP (login required)

Notes

  • they are hosted...free of charge!
  • try asking ChatYCP: "What are the main findings of this paper?" or "How does this relate to term premium estimation?"
Latest Classic Popular
March 10, 2026 yieldcurve.pro
Practical Finance: An Approximate Solution to Lifecycle Portfolio Choice

by Choi, Liu & Liu

Closed-form approximation to the Merton lifecycle model that accounts for human capital, calibrated by regression across 5,103 parameter sets with a 0.06% welfare loss versus the exact numerical solution.

Tags: Asset Allocation, Glide Path, Human Capital, Lifecycle, Merton, Portfolio Construction, Quantitative Finance, Risk Aversion

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March 09, 2026 yieldcurve.pro
Kalshi and the Rise of Prediction Markets

by Diercks, Katz & Wright

Validates Kalshi prediction markets as a high-frequency, distributionally rich alternative to surveys and fed funds futures for tracking macro expectations — with a perfect FOMC forecasting record since 2022.

Tags: CPI, Federal Funds Rate, Federal Reserve, FOMC, Forecasting, Inflation, Kalshi, Macro Expectations, Prediction Markets, Survey of Market Expectations

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February 10, 2026 yieldcurve.pro
Lehman Brothers Foreign Exchange Training Manual Classic

by Lehman Brothers

This classic document covers spot transactions, forwards, swaps, and options. Designed for traders, it includes practical examples, calculations, and scenarios that illustrate how to manage positions and understand market conventions.

Tags: foreign exchange, FX, trading, forwards, swaps, options

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