An Empirical Investigation of a Multi-period Portfolio Model of the Term Structure of Interest Rates PDF Download
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Author: Joseph Michael Messina
Publisher:
ISBN:
Category :
Languages : en
Pages : 406
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Book Description
Author: Joseph Michael Messina
Publisher:
ISBN:
Category :
Languages : en
Pages : 406
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Book Description
Author: Rajna Gibson
Publisher: Now Publishers Inc
ISBN: 1601983727
Category : Business & Economics
Languages : en
Pages : 171
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Book Description
Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives.
Author: Zurab Kotchlamazashvili
Publisher:
ISBN: 9783832595326
Category : Estimation theory
Languages : en
Pages : 210
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Book Description
Author:
Publisher:
ISBN:
Category : Dissertation abstracts
Languages : en
Pages : 728
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Book Description
Author: International Monetary Fund
Publisher: International Monetary Fund
ISBN: 1455209589
Category : Business & Economics
Languages : en
Pages : 64
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Book Description
This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the Nelson-Siegel Model and Affine Term- Structure Model, this paper estimates the terms structure of Treasury bond yields for the United States with pre-crisis data. This paper uses a software developed by Fund staff for this purpose. This software makes it possible to estimate the term structure using at least nine models, while opening up the possibility of generating simulated paths of the term structure.
Author:
Publisher:
ISBN:
Category : Dissertations, Academic
Languages : en
Pages : 978
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Book Description
Author: Cheng-Few Lee
Publisher: Elsevier
ISBN: 0080543979
Category : Social Science
Languages : en
Pages : 345
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Book Description
This research annual publication intends to bring together investment analysis and portfolio theory and their implementation to portfolio management. It seeks theoretical and empirical research manuscripts with high quality in the area of investment and portfolio analysis. The contents will consist of original research on: The principles of portfolio management of equities and fixed-income securities. The evaluation of portfolios (or mutual funds) of common stocks, bonds, international assets, and options. The dynamic process of portfolio management. Strategies of international investments and portfolio management. The applications of useful and important analytical techniques such as mathematics, econometrics, statistics, and computers in the field of investment and portfolio management. Theoretical research related to options and futures. In addition, it also contains articles that present and examine new and important accounting, financial, and economic data for managing and evaluating portfolios of risky assets.
Author: Kenneth B. Dunn
Publisher:
ISBN:
Category : Consumption (Economics)
Languages : en
Pages : 64
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Book Description
Author: University of California, Berkeley. Institute of Business and Economic Research
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 724
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Book Description
Author: Rita L. D'Ecclesia
Publisher: Springer Science & Business Media
ISBN: 3642469574
Category : Business & Economics
Languages : en
Pages : 271
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Book Description
The articles included in the volume cover a range of diverse topics linked by a common theme: the use of formal modelling techniques to promote better understanding of financial markets and improve management of financial operations. Apart from a theoretical discussion, most of the papers model validation or verification using market data. This collection of articles sets the framework for other studies that could link theory and practice.
