Format:
1 Online-Ressource (XXVII, 752 Seiten)
ISBN:
9781316694169
Content:
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
Note:
Title from publisher's bibliographic system (viewed on 29 May 2018)
Additional Edition:
ISBN 9781107165854
Additional Edition:
Erscheint auch als Druck-Ausgabe ISBN 9781107165854
Additional Edition:
Erscheint auch als Druck-Ausgabe Rebonato, Riccardo Bond pricing and yield-curve modelling Cambridge, United Kingdom : Cambridge University Press, 2018 ISBN 9781107165854
Language:
English
DOI:
10.1017/9781316694169
URL:
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