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Bond Pricing and Yield Curve Modeling

Bond Pricing and Yield Curve Modeling

A Structural Approach

Riccardo Rebonato

Cambridge University Press
Publication date : 2018-06-07

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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.

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About the book

Author

Riccardo Rebonato

Imprint

Cambridge University Press

Collection

n.c

Publication date

2018-06-07

Pages

n.c

Print ISBN

9781107165854

Language

English

Ebook informations

EAN PDF

9781316731024

Price

£79.13

Copy count 0

Print count 0

File size 21422 Ko

Informations accessibility

EAN EPUB

9781316732953

Price

£79.13

Copy count 0

Print count 0

File size 91576 Ko

Informations accessibility

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About author(s)

Riccardo Rebonato

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