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Estimation Of The Term Structure Of Interest Rates
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Book Synopsis Modeling the Term Structure of Interest Rates by : Rajna Gibson
Download or read book Modeling the Term Structure of Interest Rates written by Rajna Gibson and published by Now Publishers Inc. This book was released on 2010 with total page 171 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis The Term Structure of Interest Rates by : David Meiselman
Download or read book The Term Structure of Interest Rates written by David Meiselman and published by . This book was released on 1962 with total page 96 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 Duality and Estimation of the Term Structure of Interest Rates by : Eliezer Z. Prisman
Download or read book Duality and Estimation of the Term Structure of Interest Rates written by Eliezer Z. Prisman and published by . This book was released on 1988 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Estimation of the Term Structure of Interest Rates by : Takuji Tsukamoto
Download or read book Estimation of the Term Structure of Interest Rates written by Takuji Tsukamoto and published by . This book was released on 1994 with total page 78 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Term-Structure Models by : Damir Filipovic
Download or read book Term-Structure Models written by Damir Filipovic and published by Springer Science & Business Media. This book was released on 2009-07-28 with total page 259 pages. Available in PDF, EPUB and Kindle. Book excerpt: Changing interest rates constitute one of the major risk sources for banks, insurance companies, and other financial institutions. Modeling the term-structure movements of interest rates is a challenging task. This volume gives an introduction to the mathematics of term-structure models in continuous time. It includes practical aspects for fixed-income markets such as day-count conventions, duration of coupon-paying bonds and yield curve construction; arbitrage theory; short-rate models; the Heath-Jarrow-Morton methodology; consistent term-structure parametrizations; affine diffusion processes and option pricing with Fourier transform; LIBOR market models; and credit risk. The focus is on a mathematically straightforward but rigorous development of the theory. Students, researchers and practitioners will find this volume very useful. Each chapter ends with a set of exercises, that provides source for homework and exam questions. Readers are expected to be familiar with elementary Itô calculus, basic probability theory, and real and complex analysis.
Book Synopsis Estimation and Tests of the Term Structure of Interest Rates by : H. Joe Wells
Download or read book Estimation and Tests of the Term Structure of Interest Rates written by H. Joe Wells and published by . This book was released on 1978 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 The Term Structure of Interest Rates by : R. S. Masera
Download or read book The Term Structure of Interest Rates written by R. S. Masera and published by . This book was released on 1972 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Estimating the Term Structure of Interest Rates by : Mark Deacon
Download or read book Estimating the Term Structure of Interest Rates written by Mark Deacon and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Estimation of the Term Structure of Interest Rates by : Alois Geyer
Download or read book Estimation of the Term Structure of Interest Rates written by Alois Geyer and published by . This book was released on 1999 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Building and Using Dynamic Interest Rate Models by : Ken O. Kortanek
Download or read book Building and Using Dynamic Interest Rate Models written by Ken O. Kortanek and published by John Wiley & Sons. This book was released on 2001-11-28 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis The Handbook of Fixed Income Securities, Chapter 41 - The Market Yield Curve and Fitting the Term Structure of Interest Rates by : Frank Fabozzi
Download or read book The Handbook of Fixed Income Securities, Chapter 41 - The Market Yield Curve and Fitting the Term Structure of Interest Rates written by Frank Fabozzi and published by McGraw Hill Professional. This book was released on 2005-04-15 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: From The Handbook of Fixed Income Securities--the most authoritative, widely read reference in the global fixed income marketplace--comes this sample chapter. This comprehensive survey of current knowledge features contributions from leading academics and practitioners and is not equaled by any other single sourcebook. Now, the thoroughly revised and updated seventh edition gives you the facts and formulas you need to compete in today's transformed marketplace. It places increased emphasis on applications, electronic trading, and global portfolio management.
Book Synopsis Long Run Risk in the Term Structure of Interest Rates by :
Download or read book Long Run Risk in the Term Structure of Interest Rates written by and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Estimating the Term Structure of Interest Rates by : Mark Deacon
Download or read book Estimating the Term Structure of Interest Rates written by Mark Deacon and published by . This book was released on 1994 with total page 71 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Term Structure Estimation with Survey Data on Interest Rate Forecasts by : Don H. Kim
Download or read book Term Structure Estimation with Survey Data on Interest Rate Forecasts written by Don H. Kim and published by . This book was released on 2005 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Term Structure of Interest Rates by : Juha Seppälä
Download or read book The Term Structure of Interest Rates written by Juha Seppälä and published by . This book was released on 1996 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: Tiivistelmä.
