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£66.39

Cambridge University Press Bond Pricing and Yield Curve Modeling: A Structural Approach

Name: Bond Pricing and Yield Curve Modeling: A Structural Approach
Brand: Cambridge University Press
Price: 67.59 GBP
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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.

Product Specifications

Brand: Cambridge University Press
Format: Hardcover
ASIN: 1107165857
Category: Books > Subjects > Business, Finance & Law > Economics > Econometrics
Domain: Amazon UK
Release Date: 07 June 2018
Listed Since: 04 August 2016

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Cambridge University Press Bond Pricing and Yield Curve Modeling: A Structural Approach

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