aam a22 4500
210706
210706
190102b 2018 ||||| |||| 00| 0 eng d
9781107165854
332.632042
R3B6
Rebonato, Riccardo
372849
Bond pricing and yield curve modeling: a structural approach
Cambridge University Press
2018
London
xxvii, 752 p.
With index
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.
https://www.cambridge.org/core/books/bond-pricing-and-yield-curve-modeling/8BD16E2AC2B8CB6248A151F4BD5D25E8#fndtn-information
Mathematical statistics
372867
Yield curve modelling
372868
Structure modelling
372869
Econometric models
372870
Vasicek model
372871
ddc
BK
0
0
ddc
0
332_632042000000000_R3B6
0
NFIC
356437
VSL
VSL
GEN
2019-01-01
6
5.00
332.632042 R3B6
198157
2019-01-01
6278.03
BK