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
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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.

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