Bond Pricing and Yield Curve Modeling
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Bond Pricing and Yield Curve Modeling

A Structural Approach
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Riccardo Rebonato
1287 g
233x159x43 mm

Rebonato gives an authoritative, clear, and up-to-date explanation of the cutting-edge innovations in affine modeling for government bonds
Part I The Foundations: 1 What this book is about; 2 Definitions, notation, and a few mathematical results; 3 Links between models, monetary policy, and the macroeconomy; 4 Bonds: their risks and their compensations; 5 The risk factors in action; 6 Principal components: theory; 7 Principal components: empirical results; Part II The Building Blocks - A First Look: 8 A preview - a first look at the Vasicek model; 9 Expectations; 10 Convexity - a first look; Part III No Arbitrage: 11 No arbitrage in discrete time; 12 No arbitrage in continuous time; 13 No arbitrage with state price deflators; 14 No-arbitrage conditions for real bonds; 15 The links with an economics-based description of rates; Part IV Solving the Models: 16 Solving affine models: the Vasicek case; 17 First extensions; 18 A general pricing framework; 19 The shadow rate: dealing with a near-zero lower bound; Part V The Value of Convexity: 20 The value of convexity; 21 A model-independent approach to valuing convexity; 22 Convexity: empirical results; Part VI Excess Returns: 23 Excess returns: setting the scene; 24 Risk premia, the market price of risk, and expected excess returns; 25 Excess returns: empirical results; 26 Excess returns: the recent literature - I; 27 Excess returns: the recent literature - II; 28 Why is the slope a good predictor?; 29 The spanning problem revisited; Part VII What the Models Tell Us: 30 The doubly-mean-reverting Vasicek model; 31 Real yields, nominal yields, and inflation: the D'Amico-Kim-Wei model; 32 From snapshots to structural models: the Diebold and Rudebush approach; 33 Principal components as state variables of affine models: the PCA affine approach; 34 Generalizations: the ACM model; 35 An affine, stochastic-market-price-of-risk model; 36 Conclusions; 37 References

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