TY  - BOOK
AU  - Rebonato,Riccardo
TI  - Bond pricing and yield-curve modelling: a structural approach  
SN  - 9781316694169 (ebook)
AV  - HG4521 .R43 2018eb
U1  - 332.6323 23
CY  -  
PB  -  
KW  - Bonds
KW  - Investments
KW  - Econometric models
KW  - Government securities
KW  - Bond market
KW  - Electronic books
KW  - local
N1  - Title from publisher's bibliographic system (viewed on 29 May 2018)
N2  - 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
UR  - http://libproxy.aucegypt.edu:2048/login?url=https://doi.org/10.1017/9781316694169
ER  -