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Bond Pricing and Yield Curve Modeling

- A Structural Approach
Af: Riccardo Rebonato Engelsk Hardback

Bond Pricing and Yield Curve Modeling

- A Structural Approach
Af: Riccardo Rebonato Engelsk Hardback
Tjek vores konkurrenters priser
In this book, well-known expert Riccardo Rebonato provides the theoretical foundations (no-arbitrage, convexity, expectations, risk premia) needed for the affine modeling of the government bond markets. He presents and critically discusses the wealth of empirical findings that have appeared in the literature of the last decade, and introduces the ''structural'' models that are used by central banks, institutional investors, sovereign wealth funds, academics, and advanced practitioners to model the yield curve, to answer policy questions, to estimate the magnitude of the risk premium, to gauge market expectations, and to assess investment opportunities. Rebonato weaves precise theory with up-to-date empirical evidence to build, with the minimum mathematical sophistication required for the task, a critical understanding of what drives the government bond market.
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In this book, well-known expert Riccardo Rebonato provides the theoretical foundations (no-arbitrage, convexity, expectations, risk premia) needed for the affine modeling of the government bond markets. He presents and critically discusses the wealth of empirical findings that have appeared in the literature of the last decade, and introduces the ''structural'' models that are used by central banks, institutional investors, sovereign wealth funds, academics, and advanced practitioners to model the yield curve, to answer policy questions, to estimate the magnitude of the risk premium, to gauge market expectations, and to assess investment opportunities. Rebonato weaves precise theory with up-to-date empirical evidence to build, with the minimum mathematical sophistication required for the task, a critical understanding of what drives the government bond market.
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Produktdetaljer
Sprog: Engelsk
Sider: 776
ISBN-13: 9781107165854
Indbinding: Hardback
Udgave:
ISBN-10: 1107165857
Kategori: Monetær økonomi
Udg. Dato: 7 jun 2018
Længde: 41mm
Bredde: 236mm
Højde: 161mm
Forlag: Cambridge University Press
Oplagsdato: 7 jun 2018
Forfatter(e): Riccardo Rebonato
Forfatter(e) Riccardo Rebonato

Kategori Monetær økonomi

ISBN-13 9781107165854

Sprog Engelsk

Indbinding Hardback

Sider 776

Udgave

Længde 41mm

Bredde 236mm

Højde 161mm

Udg. Dato 7 jun 2018

Oplagsdato 7 jun 2018

Forlag Cambridge University Press