  In a market with stochastic interest rates, we consider an investor who can
either (i) invest all if his money in a savings account or (ii) purchase
zero-coupon bonds and invest the remainder of his wealth in a savings account.
The indifference price of the bond is the price for which the investor could
achieve the same expected utility under both scenarios. In an affine term
structure setting, under the assumption that an investor has a utility function
in either exponential or power form, we show that the indifference price of a
zero-coupon bond is the root of an integral expression. As an example, we
compute bond indifference prices and the corresponding indifference yield
curves in the Vasicek setting and interpret the results.
