TY - BOOK
AU - Rebonato, Riccardo
TI - Bond pricing and yield curve modeling: a structural approach
SN - 9781107165854
U1 - 332.632042
PY - 2018///
CY - London
PB - Cambridge University Press
KW - Mathematical statistics
KW - Yield curve modelling
KW - Structure modelling
KW - Econometric models
KW - Vasicek model
N2 - 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
ER -