Bond Pricing and Yield Curve Modeling

A Structural Approach

Business & Finance, Economics, Econometrics, Finance & Investing, Finance
Cover of the book Bond Pricing and Yield Curve Modeling by Riccardo Rebonato, Cambridge University Press
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Riccardo Rebonato ISBN: 9781316732953
Publisher: Cambridge University Press Publication: June 7, 2018
Imprint: Cambridge University Press Language: English
Author: Riccardo Rebonato
ISBN: 9781316732953
Publisher: Cambridge University Press
Publication: June 7, 2018
Imprint: Cambridge University Press
Language: English

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.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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.

More books from Cambridge University Press

Cover of the book The Impact of the ECHR on Democratic Change in Central and Eastern Europe by Riccardo Rebonato
Cover of the book Water on Tap by Riccardo Rebonato
Cover of the book Climate without Nature by Riccardo Rebonato
Cover of the book The Neurobiology of Australian Marsupials by Riccardo Rebonato
Cover of the book Interactions across Englishes by Riccardo Rebonato
Cover of the book Handbook of Drugs in Intensive Care by Riccardo Rebonato
Cover of the book Manual of Neurosonology by Riccardo Rebonato
Cover of the book Rethinking Society for the 21st Century: Volume 2, Political Regulation, Governance, and Societal Transformations by Riccardo Rebonato
Cover of the book Pocket Guide to the American Board of Emergency Medicine In-Training Exam by Riccardo Rebonato
Cover of the book Financial Services Law and Compliance in Australia by Riccardo Rebonato
Cover of the book The Scramjet Engine by Riccardo Rebonato
Cover of the book Cheap Print and Popular Song in the Nineteenth Century by Riccardo Rebonato
Cover of the book Rousseau's Social Contract by Riccardo Rebonato
Cover of the book Heidegger and Unconcealment by Riccardo Rebonato
Cover of the book Japan's Castles by Riccardo Rebonato
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy