Bond Pricing and Yield Curve Modeling (Innbundet)

A Structural Approach

Forfatter:

Forfatter:
Innbinding: Innbundet
Utgivelsesår: 2018
Antall sider: 776
Forlag: Cambridge University Press
Språk: Engelsk
ISBN/EAN: 9781107165854
Omtale Bond Pricing and Yield Curve Modeling
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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