Bond pricing and yield-curve modeling : a structural approach / Riccardo Rebonato

Von:

Rebonato, Riccardo [VerfasserIn]

Resource type: Ressourcentyp: Buch (Online)Buch (Online)Sprache: Englisch Verlag: Cambridge : Cambridge University Press, [2018]Beschreibung: 1 Online-Ressource (XXVII, 752 Seiten)ISBN:

9781316694169

Schlagwörter:

Andere physische Formen: 9781107165854. | Erscheint auch als: 9781107165854 Druck-Ausgabe | Erscheint auch als: Bond pricing and yield-curve modelling. Druck-Ausgabe Cambridge, United Kingdom : Cambridge University Press, 2018. xxvii, 752 SeitenDDC-Klassifikation:

332.6323 23

RVK: RVK: QK 620 | QP 890 | SK 980LOC-Klassifikation:

HG4521

DOI: DOI: 10.1017/9781316694169Online-Ressourcen:

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Zusammenfassung: 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 marketPPN: PPN: 1028022794Package identifier: Produktsigel: ZDB-20-CTM | ZDB-20-CBO | ZDB-20-CEC | ZDB-20-CHS

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