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Bond math : the theory behind the formulas / / Donald J. Smith
| Bond math : the theory behind the formulas / / Donald J. Smith |
| Autore | Smith Donald J. <1947-> |
| Edizione | [Second edition.] |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , 2014 |
| Descrizione fisica | 1 online resource (307 p.) |
| Disciplina | 332.63/2301519 |
| Collana | Wiley Finance Series |
| Soggetto topico |
Bonds - Mathematical models
Interest rates - Mathematical models Zero coupon securities |
| ISBN | 1-118-86629-0 |
| Classificazione | BUS036000 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Bond Math; Contents; Preface to the Second Edition; Preface to the First Edition; CHAPTER 1 Money Market Interest Rates; Interest Rates in Textbook Theory; Money Market Add-On Rates; Money Market Discount Rates; Two Cash Flows, Many Money Market Rates; Add-On Rate, Actual/360; Add-On Rate, Actual/365; Add-On Rate, 30/360; Add-On Rate, Actual/370; Discount Rate, Actual/360; A History Lesson on Money Market Certificates; Periodicity Conversions; Treasury Bill Auction Results; The Future: Hourly Interest Rates?; Conclusion; CHAPTER 2 Zero-Coupon Bonds; The Story of TIGRS, CATS, LIONS, and STRIPS
Yields to Maturity on Zero-Coupon BondsHorizon Yields and Holding-Period Rates of Return; Changes in Bond Prices and Yields; Credit Spreads and the Implied Probability of Default; Conclusion; CHAPTER 3 Prices and Yields on Coupon Bonds; Market Demand and Supply; Bond Prices and Yields to Maturity in a World of No Arbitrage; Some Other Yield Statistics; Horizon Yields; Some Uses of Yield-to-Maturity Statistics; Implied Probability of Default on Coupon Bonds; Bond Pricing between Coupon Dates; A Real Corporate Bond; Conclusion; CHAPTER 4 Bond Taxation; Basic Bond Taxation; Market Discount Bonds A Real Market Discount Corporate BondPremium Bonds; Original Issue Discount Bonds; Municipal Bonds; Conclusion; CHAPTER 5 Yield Curves; An Intuitive Forward Curve; Classic Theories of the Term Structure of Interest Rates; Accurate Implied Forward Rates; Money Market Implied Forward Rates; Calculating and Using Implied Spot (Zero-Coupon) Rates; More Applications for the Implied Spot and Forward Curves; Discount Factors; Conclusion; CHAPTER 6 Duration and Convexity; Yield Duration and Convexity Relationships; Yield Duration; The Relationship between Yield Duration and Maturity; Yield Convexity Bloomberg Yield Duration and ConvexityCurve Duration and Convexity; Conclusion; CHAPTER 7 Floaters and Linkers; Floating-Rate Notes in General; A Simple Floater Valuation Model; A Somewhat More Complex Floater Valuation Model; An Actual Floater; Inflation-Indexed Bonds: C-Linkers and P-Linkers; Linker Taxation; Linker Duration; Conclusion; CHAPTER 8 Interest Rate Swaps; Pricing an Interest Rate Swap; Interest Rate Forwards and Futures; Inferring the Forward Curve; Valuing an Interest Rate Swap; Interest Rate Swap Duration; Collateralized Swaps; Traditional LIBOR Discounting; OIS Discounting The LIBOR Forward Curve for OIS DiscountingConclusion; CHAPTER 9 Bond Portfolios; Bond Portfolio Statistics in Theory; Bond Portfolio Statistics in Practice; A Real Bond Portfolio; Thoughts on Bond Portfolio Statistics; Conclusion; CHAPTER 10 Bond Strategies; Acting on a Rate View; An Interest Rate Swap Overlay Strategy; Classic Immunization Theory; Immunization Implementation Issues; Liability-Driven Investing; Closing Thoughts: Target-Duration Bond Funds; Technical Appendix; Acronyms; Bibliographic Notes; About the Author; Acknowledgments; About the Companion Website; Index; EULA |
| Record Nr. | UNINA-9910787126703321 |
Smith Donald J. <1947->
|
||
| Hoboken, New Jersey : , : Wiley, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Bond math : the theory behind the formulas / / Donald J. Smith
| Bond math : the theory behind the formulas / / Donald J. Smith |
| Autore | Smith Donald J. <1947-> |
| Edizione | [Second edition.] |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , 2014 |
| Descrizione fisica | 1 online resource (307 p.) |
| Disciplina | 332.63/2301519 |
| Collana | Wiley Finance Series |
| Soggetto topico |
Bonds - Mathematical models
Interest rates - Mathematical models Zero coupon securities |
| ISBN | 1-118-86629-0 |
| Classificazione | BUS036000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Bond Math; Contents; Preface to the Second Edition; Preface to the First Edition; CHAPTER 1 Money Market Interest Rates; Interest Rates in Textbook Theory; Money Market Add-On Rates; Money Market Discount Rates; Two Cash Flows, Many Money Market Rates; Add-On Rate, Actual/360; Add-On Rate, Actual/365; Add-On Rate, 30/360; Add-On Rate, Actual/370; Discount Rate, Actual/360; A History Lesson on Money Market Certificates; Periodicity Conversions; Treasury Bill Auction Results; The Future: Hourly Interest Rates?; Conclusion; CHAPTER 2 Zero-Coupon Bonds; The Story of TIGRS, CATS, LIONS, and STRIPS
Yields to Maturity on Zero-Coupon BondsHorizon Yields and Holding-Period Rates of Return; Changes in Bond Prices and Yields; Credit Spreads and the Implied Probability of Default; Conclusion; CHAPTER 3 Prices and Yields on Coupon Bonds; Market Demand and Supply; Bond Prices and Yields to Maturity in a World of No Arbitrage; Some Other Yield Statistics; Horizon Yields; Some Uses of Yield-to-Maturity Statistics; Implied Probability of Default on Coupon Bonds; Bond Pricing between Coupon Dates; A Real Corporate Bond; Conclusion; CHAPTER 4 Bond Taxation; Basic Bond Taxation; Market Discount Bonds A Real Market Discount Corporate BondPremium Bonds; Original Issue Discount Bonds; Municipal Bonds; Conclusion; CHAPTER 5 Yield Curves; An Intuitive Forward Curve; Classic Theories of the Term Structure of Interest Rates; Accurate Implied Forward Rates; Money Market Implied Forward Rates; Calculating and Using Implied Spot (Zero-Coupon) Rates; More Applications for the Implied Spot and Forward Curves; Discount Factors; Conclusion; CHAPTER 6 Duration and Convexity; Yield Duration and Convexity Relationships; Yield Duration; The Relationship between Yield Duration and Maturity; Yield Convexity Bloomberg Yield Duration and ConvexityCurve Duration and Convexity; Conclusion; CHAPTER 7 Floaters and Linkers; Floating-Rate Notes in General; A Simple Floater Valuation Model; A Somewhat More Complex Floater Valuation Model; An Actual Floater; Inflation-Indexed Bonds: C-Linkers and P-Linkers; Linker Taxation; Linker Duration; Conclusion; CHAPTER 8 Interest Rate Swaps; Pricing an Interest Rate Swap; Interest Rate Forwards and Futures; Inferring the Forward Curve; Valuing an Interest Rate Swap; Interest Rate Swap Duration; Collateralized Swaps; Traditional LIBOR Discounting; OIS Discounting The LIBOR Forward Curve for OIS DiscountingConclusion; CHAPTER 9 Bond Portfolios; Bond Portfolio Statistics in Theory; Bond Portfolio Statistics in Practice; A Real Bond Portfolio; Thoughts on Bond Portfolio Statistics; Conclusion; CHAPTER 10 Bond Strategies; Acting on a Rate View; An Interest Rate Swap Overlay Strategy; Classic Immunization Theory; Immunization Implementation Issues; Liability-Driven Investing; Closing Thoughts: Target-Duration Bond Funds; Technical Appendix; Acronyms; Bibliographic Notes; About the Author; Acknowledgments; About the Companion Website; Index; EULA |
| Record Nr. | UNINA-9910807457803321 |
|
Smith Donald J. <1947->
|
||
| Hoboken, New Jersey : , : Wiley, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Bond math [[electronic resource] ] : the theory behind the formulas / / Donald J. Smith
| Bond math [[electronic resource] ] : the theory behind the formulas / / Donald J. Smith |
| Autore | Smith Donald J. <1947-> |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, c2011 |
| Descrizione fisica | 1 online resource (290 p.) |
| Disciplina |
332.63/2301519
332.632301519 |
| Collana | Wiley finance series |
| Soggetto topico |
Bonds - Mathematical models
Interest rates - Mathematical models Zero coupon securities |
| ISBN |
1-118-10316-5
1-283-17524-X 9786613175243 1-118-26800-8 0-470-87921-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
BOND MATH; Contents; Preface; CHAPTER 1 MoneyMarket Interest Rates; Interest Rates in Textbook Theory; Money Market Add-on Rates; Money Market Discount Rates; Two Cash Flows, Many Money Market Rates; A History Lesson on Money Market Certificates; Periodicity Conversions; Treasury Bill Auction Results; The Future: Hourly Interest Rates?; Conclusion; CHAPTER 2 Zero-Coupon Bonds; The Story of TIGRS, CATS, LIONS, and STRIPS; Yields to Maturity on Zero-Coupon Bonds; Horizon Yields and Holding-Period Rates of Return; Changes in Bond Prices and Yields
Credit Spreads and the Implied Probability of DefaultConclusion; CHAPTER 3 Prices and Yields on Coupon Bonds; Market Demand and Supply; Bond Prices and Yields to Maturity in a World of No Arbitrage; Some Other Yield Statistics; Horizon Yields; Some Uses of Yield-to-Maturity Statistics; Implied Probability of Default on Coupon Bonds; Bond Pricing between Coupon Dates; A Real Corporate Bond; Conclusion; CHAPTER 4 Bond Taxation; Basic Bond Taxation; Market Discount Bonds; A Real Market Discount Corporate Bond; Premium Bonds; Original Issue Discount Bonds; Municipal Bonds; Conclusion CHAPTER 5 Yield CurvesAn Intuitive Forward Curve; Classic Theories of the Term Structure of Interest Rates; Accurate Implied Forward Rates; Money Market Implied Forward Rates; Calculating and Using Implied Spot (Zero-Coupon) Rates; More Applications for the Implied Spot and Forward Curves; Conclusion; CHAPTER 6 Duration and Convexity; Yield Duration and Convexity Relationships; Yield Duration; The Relationship between Yield Duration and Maturity; Yield Convexity; Bloomberg Yield Duration and Convexity; Curve Duration and Convexity; Conclusion; CHAPTER 7 Floaters and Linkers Floating-Rate Notes in GeneralA Simple Floater Valuation Model; An Actual Floater; Inflation-Indexed Bonds: C-Linkers and P-Linkers; Linker Taxation; Linker Duration; Conclusion; CHAPTER 8 Interest Rate Swaps; Pricing an Interest Rate Swap; Interest Rate Forwards and Futures; Inferring the Forward Curve; Valuing an Interest Rate Swap; Interest Rate Swap Duration and Convexity; Conclusion; CHAPTER 9 Bond Portfolios; Bond Portfolio Statistics in Theory; Bond Portfolio Statistics in Practice; A Real Bond Portfolio; Thoughts on Bond Portfolio Statistics; Conclusion; CHAPTER 10 Bond Strategies Acting on a Rate ViewAn Interest Rate Swap Overlay Strategy; Classic Immunization Theory; Immunization Implementation Issues; Liability-Driven Investing; Closing Thoughts: Target-Duration Bond Funds; Technical Appendix; Acronyms; Bibliographic Notes; About the Author; Acknowledgments; Index |
| Record Nr. | UNINA-9910139632503321 |
|
Smith Donald J. <1947->
|
||
| Hoboken, N.J., : Wiley, c2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Bond math [[electronic resource] ] : the theory behind the formulas / / Donald J. Smith
| Bond math [[electronic resource] ] : the theory behind the formulas / / Donald J. Smith |
| Autore | Smith Donald J. <1947-> |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, c2011 |
| Descrizione fisica | 1 online resource (290 p.) |
| Disciplina |
332.63/2301519
332.632301519 |
| Collana | Wiley finance series |
| Soggetto topico |
Bonds - Mathematical models
Interest rates - Mathematical models Zero coupon securities |
| ISBN |
1-118-10316-5
1-283-17524-X 9786613175243 1-118-26800-8 0-470-87921-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
BOND MATH; Contents; Preface; CHAPTER 1 MoneyMarket Interest Rates; Interest Rates in Textbook Theory; Money Market Add-on Rates; Money Market Discount Rates; Two Cash Flows, Many Money Market Rates; A History Lesson on Money Market Certificates; Periodicity Conversions; Treasury Bill Auction Results; The Future: Hourly Interest Rates?; Conclusion; CHAPTER 2 Zero-Coupon Bonds; The Story of TIGRS, CATS, LIONS, and STRIPS; Yields to Maturity on Zero-Coupon Bonds; Horizon Yields and Holding-Period Rates of Return; Changes in Bond Prices and Yields
Credit Spreads and the Implied Probability of DefaultConclusion; CHAPTER 3 Prices and Yields on Coupon Bonds; Market Demand and Supply; Bond Prices and Yields to Maturity in a World of No Arbitrage; Some Other Yield Statistics; Horizon Yields; Some Uses of Yield-to-Maturity Statistics; Implied Probability of Default on Coupon Bonds; Bond Pricing between Coupon Dates; A Real Corporate Bond; Conclusion; CHAPTER 4 Bond Taxation; Basic Bond Taxation; Market Discount Bonds; A Real Market Discount Corporate Bond; Premium Bonds; Original Issue Discount Bonds; Municipal Bonds; Conclusion CHAPTER 5 Yield CurvesAn Intuitive Forward Curve; Classic Theories of the Term Structure of Interest Rates; Accurate Implied Forward Rates; Money Market Implied Forward Rates; Calculating and Using Implied Spot (Zero-Coupon) Rates; More Applications for the Implied Spot and Forward Curves; Conclusion; CHAPTER 6 Duration and Convexity; Yield Duration and Convexity Relationships; Yield Duration; The Relationship between Yield Duration and Maturity; Yield Convexity; Bloomberg Yield Duration and Convexity; Curve Duration and Convexity; Conclusion; CHAPTER 7 Floaters and Linkers Floating-Rate Notes in GeneralA Simple Floater Valuation Model; An Actual Floater; Inflation-Indexed Bonds: C-Linkers and P-Linkers; Linker Taxation; Linker Duration; Conclusion; CHAPTER 8 Interest Rate Swaps; Pricing an Interest Rate Swap; Interest Rate Forwards and Futures; Inferring the Forward Curve; Valuing an Interest Rate Swap; Interest Rate Swap Duration and Convexity; Conclusion; CHAPTER 9 Bond Portfolios; Bond Portfolio Statistics in Theory; Bond Portfolio Statistics in Practice; A Real Bond Portfolio; Thoughts on Bond Portfolio Statistics; Conclusion; CHAPTER 10 Bond Strategies Acting on a Rate ViewAn Interest Rate Swap Overlay Strategy; Classic Immunization Theory; Immunization Implementation Issues; Liability-Driven Investing; Closing Thoughts: Target-Duration Bond Funds; Technical Appendix; Acronyms; Bibliographic Notes; About the Author; Acknowledgments; Index |
| Record Nr. | UNINA-9910830981103321 |
|
Smith Donald J. <1947->
|
||
| Hoboken, N.J., : Wiley, c2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Bond math : the theory behind the formulas / / Donald J. Smith
| Bond math : the theory behind the formulas / / Donald J. Smith |
| Autore | Smith Donald J. <1947-> |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, c2011 |
| Descrizione fisica | 1 online resource (290 p.) |
| Disciplina |
332.63/2301519
332.632301519 |
| Collana | Wiley finance series |
| Soggetto topico |
Bonds - Mathematical models
Interest rates - Mathematical models Zero coupon securities |
| ISBN |
9786613175243
9781118103166 1118103165 9781283175241 128317524X 9781118268001 1118268008 9780470879214 0470879211 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
BOND MATH; Contents; Preface; CHAPTER 1 MoneyMarket Interest Rates; Interest Rates in Textbook Theory; Money Market Add-on Rates; Money Market Discount Rates; Two Cash Flows, Many Money Market Rates; A History Lesson on Money Market Certificates; Periodicity Conversions; Treasury Bill Auction Results; The Future: Hourly Interest Rates?; Conclusion; CHAPTER 2 Zero-Coupon Bonds; The Story of TIGRS, CATS, LIONS, and STRIPS; Yields to Maturity on Zero-Coupon Bonds; Horizon Yields and Holding-Period Rates of Return; Changes in Bond Prices and Yields
Credit Spreads and the Implied Probability of DefaultConclusion; CHAPTER 3 Prices and Yields on Coupon Bonds; Market Demand and Supply; Bond Prices and Yields to Maturity in a World of No Arbitrage; Some Other Yield Statistics; Horizon Yields; Some Uses of Yield-to-Maturity Statistics; Implied Probability of Default on Coupon Bonds; Bond Pricing between Coupon Dates; A Real Corporate Bond; Conclusion; CHAPTER 4 Bond Taxation; Basic Bond Taxation; Market Discount Bonds; A Real Market Discount Corporate Bond; Premium Bonds; Original Issue Discount Bonds; Municipal Bonds; Conclusion CHAPTER 5 Yield CurvesAn Intuitive Forward Curve; Classic Theories of the Term Structure of Interest Rates; Accurate Implied Forward Rates; Money Market Implied Forward Rates; Calculating and Using Implied Spot (Zero-Coupon) Rates; More Applications for the Implied Spot and Forward Curves; Conclusion; CHAPTER 6 Duration and Convexity; Yield Duration and Convexity Relationships; Yield Duration; The Relationship between Yield Duration and Maturity; Yield Convexity; Bloomberg Yield Duration and Convexity; Curve Duration and Convexity; Conclusion; CHAPTER 7 Floaters and Linkers Floating-Rate Notes in GeneralA Simple Floater Valuation Model; An Actual Floater; Inflation-Indexed Bonds: C-Linkers and P-Linkers; Linker Taxation; Linker Duration; Conclusion; CHAPTER 8 Interest Rate Swaps; Pricing an Interest Rate Swap; Interest Rate Forwards and Futures; Inferring the Forward Curve; Valuing an Interest Rate Swap; Interest Rate Swap Duration and Convexity; Conclusion; CHAPTER 9 Bond Portfolios; Bond Portfolio Statistics in Theory; Bond Portfolio Statistics in Practice; A Real Bond Portfolio; Thoughts on Bond Portfolio Statistics; Conclusion; CHAPTER 10 Bond Strategies Acting on a Rate ViewAn Interest Rate Swap Overlay Strategy; Classic Immunization Theory; Immunization Implementation Issues; Liability-Driven Investing; Closing Thoughts: Target-Duration Bond Funds; Technical Appendix; Acronyms; Bibliographic Notes; About the Author; Acknowledgments; Index |
| Record Nr. | UNINA-9911019982603321 |
|
Smith Donald J. <1947->
|
||
| Hoboken, N.J., : Wiley, c2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Inflation, default, and the currency composition of sovereign debt in emerging economies / / Daniel B. Fried
| Inflation, default, and the currency composition of sovereign debt in emerging economies / / Daniel B. Fried |
| Autore | Fried Daniel B. |
| Pubbl/distr/stampa | Washington, D.C. : , : Congressional Budget Office, , 2017 |
| Descrizione fisica | 1 online resource (86 pages) : color illustrations |
| Collana | Working paper |
| Soggetto topico |
Inflation (Finance) - Mathematical models
Default (Finance) - Mathematical models Bonds - Mathematical models Debts, External - Mathematical models Debts, Public - Mathematical models Economic indicators |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910717058103321 |
|
Fried Daniel B.
|
||
| Washington, D.C. : , : Congressional Budget Office, , 2017 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Theoretical and empirical analysis of common factors in a term structure model [[electronic resource] /] / by Ting Ting Huang
| Theoretical and empirical analysis of common factors in a term structure model [[electronic resource] /] / by Ting Ting Huang |
| Autore | Huang Ting-Ting |
| Pubbl/distr/stampa | 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. |
| ISBN |
1-282-41475-5
9786612414756 1-4438-1582-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| 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 |
| Record Nr. | UNINA-9910464595003321 |
|
Huang Ting-Ting
|
||
| Newcastle upon Tyne, : Cambridge Scholars Pub., 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Theoretical and empirical analysis of common factors in a term structure model [[electronic resource] /] / by Ting Ting Huang
| Theoretical and empirical analysis of common factors in a term structure model [[electronic resource] /] / by Ting Ting Huang |
| Autore | Huang Ting-Ting |
| Pubbl/distr/stampa | 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 |
| ISBN |
1-282-41475-5
9786612414756 1-4438-1582-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| 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 |
| Record Nr. | UNINA-9910788994403321 |
|
Huang Ting-Ting
|
||
| Newcastle upon Tyne, : Cambridge Scholars Pub., 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Yield curve modeling and forecasting [[electronic resource] ] : the dynamic Nelson-Siegel approach / / Francis X. Diebold and Glenn D. Rudebusch
| Yield curve modeling and forecasting [[electronic resource] ] : the dynamic Nelson-Siegel approach / / Francis X. Diebold and Glenn D. Rudebusch |
| Autore | Diebold Francis X. <1959-> |
| Edizione | [Course Book] |
| Pubbl/distr/stampa | Princeton, : Princeton University Press, c2013 |
| Descrizione fisica | 1 online resource (225 p.) |
| Disciplina | 332.63/2042 |
| Altri autori (Persone) | RudebuschGlenn D. <1959-> |
| Collana | The Econometric and Tinbergen Institutes lectures |
| Soggetto topico | Bonds - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-299-05121-9
1-4008-4541-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Front matter -- Contents -- Illustrations -- Introduction -- Preface -- Additional Acknowledgment -- 1. Facts, Factors, and Questions -- 2. Dynamic Nelson-Siegel -- 3. Arbitrage-Free Nelson-Siegel -- 4. Extensions -- 5. Macro-Finance -- 6. Epilogue -- Appendixes -- Appendix A: Two-Factor AFNS Calculations -- Appendix B: Details of AFNS Restrictions -- Appendix C: The AFGNS Yield-Adjustment Term -- Bibliography -- Index |
| Record Nr. | UNINA-9910463088503321 |
|
Diebold Francis X. <1959->
|
||
| Princeton, : Princeton University Press, c2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Yield curve modeling and forecasting [[electronic resource] ] : the dynamic Nelson-Siegel approach / / Francis X. Diebold and Glenn D. Rudebusch
| Yield curve modeling and forecasting [[electronic resource] ] : the dynamic Nelson-Siegel approach / / Francis X. Diebold and Glenn D. Rudebusch |
| Autore | Diebold Francis X. <1959-> |
| Edizione | [Course Book] |
| Pubbl/distr/stampa | Princeton, : Princeton University Press, c2013 |
| Descrizione fisica | 1 online resource (225 p.) |
| Disciplina | 332.63/2042 |
| Altri autori (Persone) | RudebuschGlenn D. <1959-> |
| Collana | The Econometric and Tinbergen Institutes lectures |
| Soggetto topico | Bonds - Mathematical models |
| Soggetto non controllato |
AFNS
Bayesian analysis DNS NelsonГiegel curve fitting RudebuschЗu model affine arbitrage-free models arbitrage-free NelsonГiegel models arbitrage-free dynamic NelsonГiegel arbitrage-free models credit spreads dynamic NelsonГiegel model dynamic NelsonГiegel modeling dynamic yield curve forecasting dynamic yield curve modeling factor loadings forecasting macro-finance yield curve modeling multicountry modeling risk management stateгpace structure stochastic volatility yield curve fitting yield curve models yield curve |
| ISBN |
1-299-05121-9
1-4008-4541-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Front matter -- Contents -- Illustrations -- Introduction -- Preface -- Additional Acknowledgment -- 1. Facts, Factors, and Questions -- 2. Dynamic Nelson-Siegel -- 3. Arbitrage-Free Nelson-Siegel -- 4. Extensions -- 5. Macro-Finance -- 6. Epilogue -- Appendixes -- Appendix A: Two-Factor AFNS Calculations -- Appendix B: Details of AFNS Restrictions -- Appendix C: The AFGNS Yield-Adjustment Term -- Bibliography -- Index |
| Record Nr. | UNINA-9910786024703321 |
|
Diebold Francis X. <1959->
|
||
| Princeton, : Princeton University Press, c2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
