Author: Mark Deacon
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
This paper examines various techniques used to estimate the term structure of interest rates from the prices of government bonds; in particular comparing the current Bank of England model with two approaches suggested in the academic literature. There are two main aspects of this problem: estimating the relationship between bond yields and maturity, and the relationship between bond yields and coupon. The paper outlines how these problems are approached by the three models, and compares them on both theoretical and practical grounds. It concludes that there is a trade-off between theoretical rigour and practical considerations.
Estimating the Term Structure of Interest Rates
Author: Mark Deacon
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
This paper examines various techniques used to estimate the term structure of interest rates from the prices of government bonds; in particular comparing the current Bank of England model with two approaches suggested in the academic literature. There are two main aspects of this problem: estimating the relationship between bond yields and maturity, and the relationship between bond yields and coupon. The paper outlines how these problems are approached by the three models, and compares them on both theoretical and practical grounds. It concludes that there is a trade-off between theoretical rigour and practical considerations.
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
This paper examines various techniques used to estimate the term structure of interest rates from the prices of government bonds; in particular comparing the current Bank of England model with two approaches suggested in the academic literature. There are two main aspects of this problem: estimating the relationship between bond yields and maturity, and the relationship between bond yields and coupon. The paper outlines how these problems are approached by the three models, and compares them on both theoretical and practical grounds. It concludes that there is a trade-off between theoretical rigour and practical considerations.
Modeling the Term Structure of Interest Rates
Author: Rajna Gibson
Publisher: Now Publishers Inc
ISBN: 1601983727
Category : Business & Economics
Languages : en
Pages : 171
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.
Publisher: Now Publishers Inc
ISBN: 1601983727
Category : Business & Economics
Languages : en
Pages : 171
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.
Estimating the Term Structure of Interest Rates
Author: Mark Deacon
Publisher:
ISBN: 9781857300826
Category : Interest rates
Languages : en
Pages : 71
Book Description
Publisher:
ISBN: 9781857300826
Category : Interest rates
Languages : en
Pages : 71
Book Description
Estimating and Interpreting the Yield Curve
Author: Nicola Anderson
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 248
Book Description
A yield curve is a graph indicating the term structure of interest rates by plotting the yields of all bonds of the same quality. This book provides a thorough analysis of estimation techniques and a survey of yield curve interpretation. On the former it is the most advanced book in its field, on the latter it provides an introduction to more specialised texts. It also provides important insight into the latest thinking on these techniques at the Bank of England.
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 248
Book Description
A yield curve is a graph indicating the term structure of interest rates by plotting the yields of all bonds of the same quality. This book provides a thorough analysis of estimation techniques and a survey of yield curve interpretation. On the former it is the most advanced book in its field, on the latter it provides an introduction to more specialised texts. It also provides important insight into the latest thinking on these techniques at the Bank of England.
Building and Using Dynamic Interest Rate Models
Author: Ken O. Kortanek
Publisher: John Wiley & Sons
ISBN:
Category : Business & Economics
Languages : en
Pages : 248
Book Description
This book offers a new approach to interest rate and modeling term structure by using models based on optimization of dynamical systems, rather than the traditional stochastic differential equation models. The authors use dynamic models to estimate the term structure of interest rates and show the reader how to build their own numerical simulations. It includes software that will enable readers to simulate the various models covered in the book.
Publisher: John Wiley & Sons
ISBN:
Category : Business & Economics
Languages : en
Pages : 248
Book Description
This book offers a new approach to interest rate and modeling term structure by using models based on optimization of dynamical systems, rather than the traditional stochastic differential equation models. The authors use dynamic models to estimate the term structure of interest rates and show the reader how to build their own numerical simulations. It includes software that will enable readers to simulate the various models covered in the book.
On the Estimation of Term Structure Models and An Application to the United States
Author: International Monetary Fund
Publisher: International Monetary Fund
ISBN: 1455209589
Category : Business & Economics
Languages : en
Pages : 64
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.
Publisher: International Monetary Fund
ISBN: 1455209589
Category : Business & Economics
Languages : en
Pages : 64
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.
Estimating the Term Structure of Interest Rates from Data that Include the Prices of Coupon Bonds
Author: Thomas Sedgwick Coleman
Publisher:
ISBN:
Category :
Languages : en
Pages : 45
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 45
Book Description
Estimation and Tests of the Term Structure of Interest Rates
Author: H. Joe Wells
Publisher:
ISBN:
Category : Interest
Languages : en
Pages : 294
Book Description
Publisher:
ISBN:
Category : Interest
Languages : en
Pages : 294
Book Description
Estimating the Term Structure of Interest Rates
Author: Mark Deacon
Publisher:
ISBN: 9780783787480
Category :
Languages : en
Pages : 75
Book Description
Publisher:
ISBN: 9780783787480
Category :
Languages : en
Pages : 75
Book Description
Estimating the Term-structure of Interest Rates for Non Homogeneous Bonds
Author: Michel Xavier Houglet
Publisher:
ISBN:
Category :
Languages : en
Pages : 258
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 258
Book Description