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A Practitioners Guide To Discrete Time Yield Curve Modelling
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Book Synopsis A Practitioner's Guide to Discrete-Time Yield Curve Modelling by : Ken Nyholm
Download or read book A Practitioner's Guide to Discrete-Time Yield Curve Modelling written by Ken Nyholm and published by Cambridge University Press. This book was released on 2021-01-07 with total page 152 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Element is intended for students and practitioners as a gentle and intuitive introduction to the field of discrete-time yield curve modelling. I strive to be as comprehensive as possible, while still adhering to the overall premise of putting a strong focus on practical applications. In addition to a thorough description of the Nelson-Siegel family of model, the Element contains a section on the intuitive relationship between P and Q measures, one on how the structure of a Nelson-Siegel model can be retained in the arbitrage-free framework, and a dedicated section that provides a detailed explanation for the Joslin, Singleton, and Zhu (2011) model.
Book Synopsis Yield Curve Modeling and Forecasting by : Francis X. Diebold
Download or read book Yield Curve Modeling and Forecasting written by Francis X. Diebold and published by Princeton University Press. This book was released on 2013-01-15 with total page 223 pages. Available in PDF, EPUB and Kindle. Book excerpt: Understanding the dynamic evolution of the yield curve is critical to many financial tasks, including pricing financial assets and their derivatives, managing financial risk, allocating portfolios, structuring fiscal debt, conducting monetary policy, and valuing capital goods. Unfortunately, most yield curve models tend to be theoretically rigorous but empirically disappointing, or empirically successful but theoretically lacking. In this book, Francis Diebold and Glenn Rudebusch propose two extensions of the classic yield curve model of Nelson and Siegel that are both theoretically rigorous and empirically successful. The first extension is the dynamic Nelson-Siegel model (DNS), while the second takes this dynamic version and makes it arbitrage-free (AFNS). Diebold and Rudebusch show how these two models are just slightly different implementations of a single unified approach to dynamic yield curve modeling and forecasting. They emphasize both descriptive and efficient-markets aspects, they pay special attention to the links between the yield curve and macroeconomic fundamentals, and they show why DNS and AFNS are likely to remain of lasting appeal even as alternative arbitrage-free models are developed. Based on the Econometric and Tinbergen Institutes Lectures, Yield Curve Modeling and Forecasting contains essential tools with enhanced utility for academics, central banks, governments, and industry.
Book Synopsis Girsanov, Numeraires, and All That by : Patrick S. Hagan
Download or read book Girsanov, Numeraires, and All That written by Patrick S. Hagan and published by Cambridge University Press. This book was released on 2022-11-17 with total page 85 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this Element the authors review the technique of the change of numeraire in the martingale approach to option pricing. Their intention is to present a reader friendly explanation of the technique itself, and illustrate how it is applied in various fields of quantitative finance as the basis for building option valuation models. They start with an informal review of Girsanov's theorem, followed by a brief summary of the basic concepts of the arbitrage free pricing, and the technique of change of numeraire. This is followed by a number of applications of the change of numeraire technique including interest rate models, FX quanto adjustments, credit risk modeling, mortgage backed securities, and CMS rates.
Book Synopsis Zero Lower Bound Term Structure Modeling by : L. Krippner
Download or read book Zero Lower Bound Term Structure Modeling written by L. Krippner and published by Springer. This book was released on 2015-01-05 with total page 409 pages. Available in PDF, EPUB and Kindle. Book excerpt: Nominal yields on government debt in several countries have fallen very near their zero lower bound (ZLB), causing a liquidity trap and limiting the capacity to stimulate economic growth. This book provides a comprehensive reference to ZLB structure modeling in an applied setting.
Book Synopsis Interest Rate Swaps and Their Derivatives by : Amir Sadr
Download or read book Interest Rate Swaps and Their Derivatives written by Amir Sadr and published by John Wiley & Sons. This book was released on 2009-09-09 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt: An up-to-date look at the evolution of interest rate swaps and derivatives Interest Rate Swaps and Derivatives bridges the gap between the theory of these instruments and their actual use in day-to-day life. This comprehensive guide covers the main "rates" products, including swaps, options (cap/floors, swaptions), CMS products, and Bermudan callables. It also covers the main valuation techniques for the exotics/structured-notes area, which remains one of the most challenging parts of the market. Provides a balance of relevant theory and real-world trading instruments for rate swaps and swap derivatives Uses simple settings and illustrations to reveal key results Written by an experienced trader who has worked with swaps, options, and exotics With this book, author Amir Sadr shares his valuable insights with practitioners in the field of interest rate derivatives-from traders and marketers to those in operations.
Book Synopsis On the Estimation of Term Structure Models and An Application to the United States by : International Monetary Fund
Download or read book On the Estimation of Term Structure Models and An Application to the United States written by International Monetary Fund and published by International Monetary Fund. This book was released on 2010-11-01 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Implementing Models of Financial Derivatives by : Nick Webber
Download or read book Implementing Models of Financial Derivatives written by Nick Webber and published by John Wiley & Sons. This book was released on 2011-09-07 with total page 772 pages. Available in PDF, EPUB and Kindle. Book excerpt: Implementing Models of Financial Derivatives is a comprehensive treatment of advanced implementation techniques in VBA for models of financial derivatives. Aimed at readers who are already familiar with the basics of VBA it emphasizes a fully object oriented approach to valuation applications, chiefly in the context of Monte Carlo simulation but also more broadly for lattice and PDE methods. Its unique approach to valuation, emphasizing effective implementation from both the numerical and the computational perspectives makes it an invaluable resource. The book comes with a library of almost a hundred Excel spreadsheets containing implementations of all the methods and models it investigates, including a large number of useful utility procedures. Exercises structured around four application streams supplement the exposition in each chapter, taking the reader from basic procedural level programming up to high level object oriented implementations. Written in eight parts, parts 1-4 emphasize application design in VBA, focused around the development of a plain Monte Carlo application. Part 5 assesses the performance of VBA for this application, and the final 3 emphasize the implementation of a fast and accurate Monte Carlo method for option valuation. Key topics include: ?Fully polymorphic factories in VBA; ?Polymorphic input and output using the TextStream and FileSystemObject objects; ?Valuing a book of options; ?Detailed assessment of the performance of VBA data structures; ?Theory, implementation, and comparison of the main Monte Carlo variance reduction methods; ?Assessment of discretization methods and their application to option valuation in models like CIR and Heston; ?Fast valuation of Bermudan options by Monte Carlo. Fundamental theory and implementations of lattice and PDE methods are presented in appendices and developed through the book in the exercise streams. Spanning the two worlds of academic theory and industrial practice, this book is not only suitable as a classroom text in VBA, in simulation methods, and as an introduction to object oriented design, it is also a reference for model implementers and quants working alongside derivatives groups. Its implementations are a valuable resource for students, teachers and developers alike. Note: CD-ROM/DVD and other supplementary materials are not included as part of eBook file.
Book Synopsis Estimating and Interpreting the Yield Curve by : Nicola Anderson
Download or read book Estimating and Interpreting the Yield Curve written by Nicola Anderson and published by . This book was released on 1996-06-04 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis A Practitioner's Guide to Asset Allocation by : William Kinlaw
Download or read book A Practitioner's Guide to Asset Allocation written by William Kinlaw and published by John Wiley & Sons. This book was released on 2017-05-02 with total page 259 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the formalization of asset allocation in 1952 with the publication of Portfolio Selection by Harry Markowitz, there have been great strides made to enhance the application of this groundbreaking theory. However, progress has been uneven. It has been punctuated with instances of misleading research, which has contributed to the stubborn persistence of certain fallacies about asset allocation. A Practitioner's Guide to Asset Allocation fills a void in the literature by offering a hands-on resource that describes the many important innovations that address key challenges to asset allocation and dispels common fallacies about asset allocation. The authors cover the fundamentals of asset allocation, including a discussion of the attributes that qualify a group of securities as an asset class and a detailed description of the conventional application of mean-variance analysis to asset allocation.. The authors review a number of common fallacies about asset allocation and dispel these misconceptions with logic or hard evidence. The fallacies debunked include such notions as: asset allocation determines more than 90% of investment performance; time diversifies risk; optimization is hypersensitive to estimation error; factors provide greater diversification than assets and are more effective at reducing noise; and that equally weighted portfolios perform more reliably out of sample than optimized portfolios. A Practitioner's Guide to Asset Allocation also explores the innovations that address key challenges to asset allocation and presents an alternative optimization procedure to address the idea that some investors have complex preferences and returns may not be elliptically distributed. Among the challenges highlighted, the authors explain how to overcome inefficiencies that result from constraints by expanding the optimization objective function to incorporate absolute and relative goals simultaneously. The text also explores the challenge of currency risk, describes how to use shadow assets and liabilities to unify liquidity with expected return and risk, and shows how to evaluate alternative asset mixes by assessing exposure to loss throughout the investment horizon based on regime-dependent risk. This practical text contains an illustrative example of asset allocation which is used to demonstrate the impact of the innovations described throughout the book. In addition, the book includes supplemental material that summarizes the key takeaways and includes information on relevant statistical and theoretical concepts, as well as a comprehensive glossary of terms.
Book Synopsis Practitioner's Guide to Statistics and Lean Six Sigma for Process Improvements by : Mikel J. Harry
Download or read book Practitioner's Guide to Statistics and Lean Six Sigma for Process Improvements written by Mikel J. Harry and published by John Wiley & Sons. This book was released on 2011-09-20 with total page 827 pages. Available in PDF, EPUB and Kindle. Book excerpt: This hands-on book presents a complete understanding of Six Sigma and Lean Six Sigma through data analysis and statistical concepts In today's business world, Six Sigma, or Lean Six Sigma, is a crucial tool utilized by companies to improve customer satisfaction, increase profitability, and enhance productivity. Practitioner's Guide to Statistics and Lean Six Sigma for Process Improvements provides a balanced approach to quantitative and qualitative statistics using Six Sigma and Lean Six Sigma methodologies. Emphasizing applications and the implementation of data analyses as they relate to this strategy for business management, this book introduces readers to the concepts and techniques for solving problems and improving managerial processes using Six Sigma and Lean Six Sigma. Written by knowledgeable professionals working in the field today, the book offers thorough coverage of the statistical topics related to effective Six Sigma and Lean Six Sigma practices, including: Discrete random variables and continuous random variables Sampling distributions Estimation and hypothesis tests Chi-square tests Analysis of variance Linear and multiple regression Measurement analysis Survey methods and sampling techniques The authors provide numerous opportunities for readers to test their understanding of the presented material, as the real data sets, which are incorporated into the treatment of each topic, can be easily worked with using Microsoft Office Excel, Minitab, MindPro, or Oracle's Crystal Ball software packages. Examples of successful, complete Six Sigma and Lean Six Sigma projects are supplied in many chapters along with extensive exercises that range in level of complexity. The book is accompanied by an extensive FTP site that features manuals for working with the discussed software packages along with additional exercises and data sets. In addition, numerous screenshots and figures guide readers through the functional and visual methods of learning Six Sigma and Lean Six Sigma. Practitioner's Guide to Statistics and Lean Six Sigma for Process Improvements is an excellent book for courses on Six Sigma and statistical quality control at the upper-undergraduate and graduate levels. It is also a valuable reference for professionals in the fields of engineering, business, physics, management, and finance.
Book Synopsis Dynamic Term Structure Modeling by : Sanjay K. Nawalkha
Download or read book Dynamic Term Structure Modeling written by Sanjay K. Nawalkha and published by Wiley. This book was released on 2007-06-04 with total page 683 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for Dynamic Term Structure Modeling "This book offers the most comprehensive coverage of term-structure models I have seen so far, encompassing equilibrium and no-arbitrage models in a new framework, along with the major solution techniques using trees, PDE methods, Fourier methods, and approximations. It is an essential reference for academics and practitioners alike." --Sanjiv Ranjan Das Professor of Finance, Santa Clara University, California, coeditor, Journal of Derivatives "Bravo! This is an exhaustive analysis of the yield curve dynamics. It is clear, pedagogically impressive, well presented, and to the point." --Nassim Nicholas Taleb author, Dynamic Hedging and The Black Swan "Nawalkha, Beliaeva, and Soto have put together a comprehensive, up-to-date textbook on modern dynamic term structure modeling. It is both accessible and rigorous and should be of tremendous interest to anyone who wants to learn about state-of-the-art fixed income modeling. It provides many numerical examples that will be valuable to readers interested in the practical implementations of these models." --Pierre Collin-Dufresne Associate Professor of Finance, UC Berkeley "The book provides a comprehensive description of the continuous time interest rate models. It serves an important part of the trilogy, useful for financial engineers to grasp the theoretical underpinnings and the practical implementation." --Thomas S. Y. Ho, PHD President, Thomas Ho Company, Ltd, coauthor, The Oxford Guide to Financial Modeling
Book Synopsis Business Valuation, 1e by : Vikash Goel
Download or read book Business Valuation, 1e written by Vikash Goel and published by Bloomsbury Publishing. This book was released on 2021-09-20 with total page 618 pages. Available in PDF, EPUB and Kindle. Book excerpt: Key Features Comprehensive coverage of valuation concepts: - Financial Statement Analysis. - Overview of Valuation. - Fundamental analysis of a business. - Valuation of Equity, Bonds, Derivatives and other financial assets. - Valuation in special situations such as Mergers and Acquisitions, Private companies, young and start-up companies, intangibles and others. - Laws and Regulations relating to Valuation such as Ind AS, Companies Act, Valuation Standards, SEBI, Income –tax. - Case Studies. Simple language and concise presentation of content. Includes Case Studies. Access to premium online resources and Excel Templates for valuation.
Book Synopsis Bayesian Risk Management by : Matt Sekerke
Download or read book Bayesian Risk Management written by Matt Sekerke and published by John Wiley & Sons. This book was released on 2015-08-19 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: A risk measurement and management framework that takes model risk seriously Most financial risk models assume the future will look like the past, but effective risk management depends on identifying fundamental changes in the marketplace as they occur. Bayesian Risk Management details a more flexible approach to risk management, and provides tools to measure financial risk in a dynamic market environment. This book opens discussion about uncertainty in model parameters, model specifications, and model-driven forecasts in a way that standard statistical risk measurement does not. And unlike current machine learning-based methods, the framework presented here allows you to measure risk in a fully-Bayesian setting without losing the structure afforded by parametric risk and asset-pricing models. Recognize the assumptions embodied in classical statistics Quantify model risk along multiple dimensions without backtesting Model time series without assuming stationarity Estimate state-space time series models online with simulation methods Uncover uncertainty in workhorse risk and asset-pricing models Embed Bayesian thinking about risk within a complex organization Ignoring uncertainty in risk modeling creates an illusion of mastery and fosters erroneous decision-making. Firms who ignore the many dimensions of model risk measure too little risk, and end up taking on too much. Bayesian Risk Management provides a roadmap to better risk management through more circumspect measurement, with comprehensive treatment of model uncertainty.
Book Synopsis Social Science Research Design and Statistics by : Alfred P. Rovai
Download or read book Social Science Research Design and Statistics written by Alfred P. Rovai and published by Watertree Press LLC. This book was released on 2013-09-01 with total page 628 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book integrates social science research methods and the descriptions of over 40 univariate, bivariate, and multivariate tests to include a description of the purpose, key assumptions and requirements, example research question and null hypothesis, SPSS procedures, display and interpretation of SPSS output, and what to report for each test. It is classroom tested and current with IBM SPSS 22. This expanded second edition also features companion website materials including copies of the IBM SPSS datasets used to create the SPSS output presented in the book, and Microsoft PowerPoint presentations that display step-by-step instructions on how to run popular SPSS procedures. Included throughout the book are various sidebars highlighting key points, images and SPSS screenshots to assist understanding the material presented, self-test reviews at the end of each chapter, a decision tree to facilitate identification of the proper statistical test, examples of SPSS output with accompanying analysis and interpretations, links to relevant web sites, and a comprehensive glossary. Underpinning all these features is a concise, easy to understand explanation of the material.
Book Synopsis Bond Pricing and Yield Curve Modeling by : Riccardo Rebonato
Download or read book Bond Pricing and Yield Curve Modeling written by Riccardo Rebonato and published by Cambridge University Press. This book was released on 2018-06-07 with total page 1080 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Aquifer Test Solutions by : Leonid N. Sindalovskiy
Download or read book Aquifer Test Solutions written by Leonid N. Sindalovskiy and published by Springer. This book was released on 2016-12-01 with total page 392 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book, designed as a handbook, provides a systematic treatment of analytical solutions describing groundwater flow during aquifer tests. The book integrates the majority of known solutions from well hydraulics and subsurface flow theory, starting with pioneering work from the early 20th century up to the most recent publications in scientific journals. The book includes about 300 transient solutions covering a wide range of aquifer test scenarios and hydrogeological conditions. All the solutions have been thoroughly tested and implemented in the multifunctional ANSDIMAT software. The book comprises three parts and is supplemented by appendices. The first part of the book is dedicated to basic analytical relationships referring to pumping tests with constant discharge rate. Conceptual models describe confined, unconfined, confined–unconfined, inhomogeneous, and fracture-porous aquifers, as well as leaky aquifers and multi-layer aquifer systems. Complicating factors such as flow boundaries, aquifer anisotropy, non-uniform aquifer thickness, partial well penetration, wellbore storage and skin, the effect of capillary forces are also considered. The second part focuses on complex pumping test settings and well system configurations. Analytical solutions are presented for pumping from a horizontal or inclined well, constant-head tests, multi-well variable-discharge tests, simultaneous pumping from adjacent aquifers and dipole flow tests. Detailed descriptions are given for slug and recovery tests. The third part of the book contains algorithms for evaluating hydraulic characteristics using analytical and graphical methods, and is supplemented by the ANSDIMAT tool. This software includes solutions for some practical engineering-hydrogeological problems, in particular, the assessment of aquifer characteristics by data on groundwater level monitoring and the evaluation of water inflow into open pits. The book is supplemented with appendices in which hydrogeologists can find a vast body of useful information including mathematical descriptions of the majority of analytical functions used in the book, their plots and possible approximations. Audience: The book is useful for hydrogeologists (students, engineers and researchers) engaged in groundwater flow studies, aquifer test analysis, environmental geologists and civil engineers. Experts in water flow numerical modeling and programmers developing software for aquifer tests will find valuable information in this book, which can also be used for educational and research purposes.
Book Synopsis Machine Learning for Asset Managers by : Marcos M. López de Prado
Download or read book Machine Learning for Asset Managers written by Marcos M. López de Prado and published by Cambridge University Press. This book was released on 2020-04-22 with total page 152 pages. Available in PDF, EPUB and Kindle. Book excerpt: Successful investment strategies are specific implementations of general theories. An investment strategy that lacks a theoretical justification is likely to be false. Hence, an asset manager should concentrate her efforts on developing a theory rather than on backtesting potential trading rules. The purpose of this Element is to introduce machine learning (ML) tools that can help asset managers discover economic and financial theories. ML is not a black box, and it does not necessarily overfit. ML tools complement rather than replace the classical statistical methods. Some of ML's strengths include (1) a focus on out-of-sample predictability over variance adjudication; (2) the use of computational methods to avoid relying on (potentially unrealistic) assumptions; (3) the ability to "learn" complex specifications, including nonlinear, hierarchical, and noncontinuous interaction effects in a high-dimensional space; and (4) the ability to disentangle the variable search from the specification search, robust to multicollinearity and other substitution effects.
