Author: Michel Xavier Houglet
Publisher:
ISBN:
Category :
Languages : en
Pages : 258

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Author: Rajna Gibson
Publisher: Now Publishers Inc
ISBN: 1601983727
Category : Business & Economics
Languages : en
Pages : 171

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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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Author: Mark Deacon
Publisher:
ISBN:
Category :
Languages : en
Pages :

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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: H. Joe Wells
Publisher:
ISBN:
Category : Interest
Languages : en
Pages : 294

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Author: Kenneth B. Dunn
Publisher:
ISBN:
Category : Consumption (Economics)
Languages : en
Pages : 64

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Author: Thomas Sedgwick Coleman
Publisher:
ISBN:
Category :
Languages : en
Pages : 45

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Author: International Monetary Fund
Publisher: International Monetary Fund
ISBN: 1455298093
Category : Business & Economics
Languages : en
Pages : 65

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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: Oldrich A. Vasicek
Publisher: John Wiley & Sons
ISBN: 1119186218
Category : Business & Economics
Languages : en
Pages : 368

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Book Description
The compiled works of the man behind the evolution of quantitative finance Finance, Economics, and Mathematics is the complete Vasicek reference work, including published and unpublished work and interviews with the man himself. The name Oldrich A. Vasicek is synonymous with cutting-edge research in the finance fields, and this book comes straight from the source to bring you the undiluted mother lode of quant wisdom from one of the founders of the field. From his early work in yield curve dynamics, to the mean-reverting short-rate model, to his thoughts on derivatives pricing, to his work on credit risk, to his most recent research on the economics of interest rates, this book represents the life's work of an industry leader. Going beyond the papers, you'll also find the more personal side inspirational as Vasicek talks about the academics and professionals who made lasting impressions and collaborated, debated, and ultimately helped spawn some of his greatest thinking. Oldrich Vasicek has won virtually every important award and prize for his groundbreaking research in quantitative finance. You've followed his work for years; this book puts it all in a single volume to give you the definitive reference you'll turn to again and again. Explore Vasicek's insights on topics he helped create Discover his research and ideas that have gone unpublished—until now Understand yield curves and the Vasicek model from the source himself Gain a reference collection of some of the most influential work in quantitative finance Vasicek's research is the foundation of one of the most important innovations in finance. Quants around the world have been influenced by his ideas, and his status as thought leader is cemented in the annals of finance history. Finance, Economics, and Mathematics is the definitive Vasicek reference every finance professional needs.

Author: Mark Deacon
Publisher:
ISBN: 9780783787480
Category :
Languages : en
Pages : 75

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Book Description