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Bond Pricing and Yield Curve Modeling - A Structural Approach (Hardcover)
Loot Price: R2,223
Discovery Miles 22 230
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Bond Pricing and Yield Curve Modeling - A Structural Approach (Hardcover)
Expected to ship within 12 - 17 working days
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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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