Bond pricing and yield-curve modelling: a structural approach
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 l...
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Cambridge
Cambridge University Press
2018
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| Schlagworte: | |
| Online-Zugang: | BSB01 FHN01 UBA01 UER01 Volltext |
| Zusammenfassung: | 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 |
| Beschreibung: | Title from publisher's bibliographic system (viewed on 29 May 2018) |
| Beschreibung: | 1 Online-Ressource (XXVII, 752 Seiten) |
| ISBN: | 9781316694169 |
| DOI: | 10.1017/9781316694169 |
Internformat
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| 520 | |a 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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Datensatz im Suchindex
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| author | Rebonato, Riccardo |
| author_GND | (DE-588)142802816 |
| author_facet | Rebonato, Riccardo |
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| author_sort | Rebonato, Riccardo |
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| collection | ZDB-20-CBO |
| ctrlnum | (ZDB-20-CBO)CR9781316694169 (OCoLC)1048656290 (DE-599)BVBBV045212460 |
| dewey-full | 332.6323 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.6323 |
| dewey-search | 332.6323 |
| dewey-sort | 3332.6323 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| doi_str_mv | 10.1017/9781316694169 |
| format | Electronic eBook |
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| id | DE-604.BV045212460 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T08:11:42Z |
| institution | BVB |
| isbn | 9781316694169 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-030601239 |
| oclc_num | 1048656290 |
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| owner_facet | DE-12 DE-29 DE-92 DE-384 |
| physical | 1 Online-Ressource (XXVII, 752 Seiten) |
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| publisher | Cambridge University Press |
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| spelling | Rebonato, Riccardo Verfasser (DE-588)142802816 aut Bond pricing and yield-curve modelling a structural approach Riccardo Rebonato Cambridge Cambridge University Press 2018 1 Online-Ressource (XXVII, 752 Seiten) txt rdacontent c rdamedia cr rdacarrier Title from publisher's bibliographic system (viewed on 29 May 2018) 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 Bonds Investments / Econometric models Government securities Bond market Zinsstruktur (DE-588)4067855-6 gnd rswk-swf Rentenmarkt (DE-588)4177794-3 gnd rswk-swf Rentenmarkt (DE-588)4177794-3 s Zinsstruktur (DE-588)4067855-6 s 1\p DE-604 Erscheint auch als Druck-Ausgabe, hardback 978-1-107-16585-4 https://doi.org/10.1017/9781316694169 Verlag URL des Erstveröffentlichers Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Rebonato, Riccardo Bond pricing and yield-curve modelling a structural approach Bonds Investments / Econometric models Government securities Bond market Zinsstruktur (DE-588)4067855-6 gnd Rentenmarkt (DE-588)4177794-3 gnd |
| subject_GND | (DE-588)4067855-6 (DE-588)4177794-3 |
| title | Bond pricing and yield-curve modelling a structural approach |
| title_auth | Bond pricing and yield-curve modelling a structural approach |
| title_exact_search | Bond pricing and yield-curve modelling a structural approach |
| title_full | Bond pricing and yield-curve modelling a structural approach Riccardo Rebonato |
| title_fullStr | Bond pricing and yield-curve modelling a structural approach Riccardo Rebonato |
| title_full_unstemmed | Bond pricing and yield-curve modelling a structural approach Riccardo Rebonato |
| title_short | Bond pricing and yield-curve modelling |
| title_sort | bond pricing and yield curve modelling a structural approach |
| title_sub | a structural approach |
| topic | Bonds Investments / Econometric models Government securities Bond market Zinsstruktur (DE-588)4067855-6 gnd Rentenmarkt (DE-588)4177794-3 gnd |
| topic_facet | Bonds Investments / Econometric models Government securities Bond market Zinsstruktur Rentenmarkt |
| url | https://doi.org/10.1017/9781316694169 |
| work_keys_str_mv | AT rebonatoriccardo bondpricingandyieldcurvemodellingastructuralapproach |