02499nam 2200565Ia 450 991046459500332120200520144314.01-282-41475-597866124147561-4438-1582-9(CKB)3390000000009013(EBL)1133164(OCoLC)830167660(SSID)ssj0000443251(PQKBManifestationID)11301962(PQKBTitleCode)TC0000443251(PQKBWorkID)10455135(PQKB)11640748(MiAaPQ)EBC1133164(Au-PeEL)EBL1133164(CaPaEBR)ebr10677015(CaONFJC)MIL241475(EXLCZ)99339000000000901320100514d2009 uy 0engurcn|||||||||txtccrTheoretical and empirical analysis of common factors in a term structure model[electronic resource] /by Ting Ting HuangNewcastle upon Tyne Cambridge Scholars Pub.20091 online resource (50 p.)Includes bibliographical references (p. 37-38).1-4438-1311-7 INTRODUCTORY NOTE; CONTENTS; LIST OF TABLES; LIST OF FIGURES; 1. INTRODUCTION; 2. COMMON FACTORS OF RANDOM VARIABLES; 3. COMMON FACTORS OF STOCHASTIC PROCESSES; 4. MODELING THE US TREASURY BONDS; 5. THE INDEPENDENCY OF THE FIRST TWO COMMON FACTORS; 6. CONCLUSION; REFERENCESThis paper is the first that completely studies dynamical and cross-sectional structures of bonds, typically used as risk-free assets in mathematical finance, on the independence of the common factors with the empirical copula. During the last decade, financial models based empirically on common factors have acquired increasing popularity in risk management and asset pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for non-specialis...BondsMathematical modelsCapital assets pricing modelElectronic books.BondsMathematical models.Capital assets pricing model.332.6323015118Huang Ting-Ting972258MiAaPQMiAaPQMiAaPQBOOK9910464595003321Theoretical and empirical analysis of common factors in a term structure model2210713UNINA