£66.39

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

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£66 today · usual range £0–£0 · best ever £59

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£69.00 £58.13 £60.50 £62.87 £65.25 £67.62 £69.99 09 June 2024 08 November 2024 09 April 2025 08 September 2025 07 February 2026

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10 days 241 days 224 days 93 days · current 41 days 0 60 121 181 241 £59-61 £61-63 £63-65 £65-67 £67-69 Days at Price

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Most common range: £61-63 (241 days, 39.6%)

Price range: £59 - £69

Price levels: 5 price ranges over 609 days

Description

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

Format
Hardcover
Domain
Amazon UK
Release Date
07 June 2018
Listed Since
04 August 2016

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