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Author: Brian (Brian Douglas) Hollohan
Publisher:
ISBN:
Category : Government securities
Languages : en
Pages : 0
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Author: Brian (Brian Douglas) Hollohan
Publisher:
ISBN:
Category : Government securities
Languages : en
Pages : 0
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Book Description
Author: Brian (Brian Douglas) Hollohan
Publisher:
ISBN:
Category :
Languages : en
Pages : 232
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Author: Mark Deacon
Publisher:
ISBN:
Category :
Languages : en
Pages :
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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.
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: Mark Deacon
Publisher:
ISBN: 9781857300826
Category : Interest rates
Languages : en
Pages : 71
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Book Description
Author: Christopher Ragan
Publisher:
ISBN: 9780662228899
Category : Inflation (Finance)
Languages : en
Pages : 32
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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: H. Joe Wells
Publisher:
ISBN:
Category : Interest
Languages : en
Pages : 294
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Book Description
Author: David Bolder
Publisher:
ISBN: 9780662276029
Category : Government securities
Languages : en
Pages : 56
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Author: Iwan Meier
Publisher:
ISBN: 9783952041642
Category :
Languages : en
Pages : 209
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