Bond pricing and yield-curve modelling : a structural approach
By: Rebonato, Riccardo.
Publisher: Cambridge Cambridge University Press 2018Description: xxvii, 752p.ISBN: 9781107165854.Subject(s): Yield-curve modeling | Quips and quotesDDC classification: 658.15 | R24b Summary: 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.| Item type | Current location | Collection | Call number | Status | Date due | Barcode | Item holds |
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Books
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PK Kelkar Library, IIT Kanpur | General Stacks | 658.15 R24b (Browse shelf) | Available | A184094 |
Browsing PK Kelkar Library, IIT Kanpur Shelves , Collection code: General Stacks Close shelf browser
| 658.15 P993a Applied corporate finance | 658.15 R19s Short introduction to corporate finance | 658.15 R229 REAL OPTIONS | 658.15 R24b Bond pricing and yield-curve modelling | 658.15 R293 Renewable energy governance | 658.15 R576e3 ESSENTIAL ACCOUNTING FOR MANAGERS | 658.15 S69M3 MANAGING FINANCIAL RISK |
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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