Besides the introduction, the thesis is organized in two parts. Part I assumes a bond investor with μ-σ preferences. The first chapter presents a convenient multi-rating ATSM with no-arbitrage restrictions, focusing on the application to the term structure of interest rates for corporate bonds. The second chapter of Part I investigates common factors in U.S. and U.K. treasury yields in the period 1983 to 2012. Part II studies a more sophisticated investor. Particularly, Chapter 4 assesses the statistical distribution of daily EMU bond returns for the period 1999 to 2012.