Bond pricing and yield-curve modelling (Record no. 559896)
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000 -LEADER | |
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fixed length control field | 01441 a2200205 4500 |
005 - DATE AND TIME OF LATEST TRANSACTION | |
control field | 20181217152938.0 |
008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
fixed length control field | 181213b xxu||||| |||| 00| 0 eng d |
020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
ISBN | 9781107165854 |
040 ## - CATALOGING SOURCE | |
Transcribing agency | IIT Kanpur |
041 ## - LANGUAGE CODE | |
Language code of text/sound track or separate title | eng |
082 ## - DEWEY DECIMAL CLASSIFICATION NUMBER | |
Classification number | 658.15 |
Item number | R24b |
100 ## - MAIN ENTRY--AUTHOR NAME | |
Personal name | Rebonato, Riccardo |
245 ## - TITLE STATEMENT | |
Title | Bond pricing and yield-curve modelling |
Remainder of title | a structural approach |
Statement of responsibility, etc | Riccardo Rebonato |
260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) | |
Place of publication | Cambridge |
Name of publisher | Cambridge University Press |
Year of publication | 2018 |
300 ## - PHYSICAL DESCRIPTION | |
Number of Pages | xxvii, 752p |
520 ## - SUMMARY, ETC. | |
Summary, etc | 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. |
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
Topical Term | Yield-curve modeling |
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
Topical Term | Quips and quotes |
942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
Koha item type | Books |
Withdrawn status | Lost status | Damaged status | Not for loan | Collection code | Permanent Location | Current Location | Date acquired | Source of acquisition | Cost, normal purchase price | Full call number | Accession Number | Cost, replacement price | Koha item type |
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General Stacks | PK Kelkar Library, IIT Kanpur | PK Kelkar Library, IIT Kanpur | 2018-12-12 | 2 | 4701.12 | 658.15 R24b | A184094 | 5876.40 | Books |