Theoretical and empirical analysis of common factors in a term structure model [[electronic resource] /] / by Ting Ting Huang
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| Autore: |
Huang Ting-Ting
|
| Titolo: |
Theoretical and empirical analysis of common factors in a term structure model [[electronic resource] /] / by Ting Ting Huang
|
| Pubblicazione: | Newcastle upon Tyne, : Cambridge Scholars Pub., 2009 |
| Descrizione fisica: | 1 online resource (50 p.) |
| Disciplina: | 332.6323015118 |
| Soggetto topico: | Bonds - Mathematical models |
| Capital assets pricing model | |
| Soggetto genere / forma: | Electronic books. |
| Note generali: | Includes bibliographical references (p. 37-38). |
| Nota di contenuto: | 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; REFERENCES |
| Sommario/riassunto: | This 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... |
| Titolo autorizzato: | Theoretical and empirical analysis of common factors in a term structure model |
| ISBN: | 1-282-41475-5 |
| 9786612414756 | |
| 1-4438-1582-9 | |
| Formato: | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione: | Inglese |
| Record Nr.: | 9910464595003321 |
| Lo trovi qui: | Univ. Federico II |
| Opac: | Controlla la disponibilità qui |