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Arbitrage-free Bond Pricing with Dynamic Macroeconomic Models
Language: en
Pages: 0
Authors: Michael F. Gallmeyer
Categories: Bonds
Type: BOOK - Published: 2007 - Publisher:

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We examine the relationship between monetary-policy-induced changes in short interest rates and yields on long-maturity default-free bonds. The volatility of th
Arbitrage-free models of bond pricing
Language: es
Pages: 39
Authors: David Backus
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Type: BOOK - Published: 1996 - Publisher:

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Arbitrage Opportunities in Arbitrage-free Models of Bond Pricing
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Authors: David Backus
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Type: BOOK - Published: 1996 - Publisher:

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Mathematical models of bond pricing are used by both academics and Wall Street practitioners, with practitioners introducing time-dependent parameters to fit ar
Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing
Language: en
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We explore the practitioners methodology of choosing time-dependent parameters to fit a bond model to selected asset prices, and show that it can lead to system
Yield Curve Modeling and Forecasting
Language: en
Pages: 223
Authors: Francis X. Diebold
Categories: Business & Economics
Type: BOOK - Published: 2013-01-15 - Publisher: Princeton University Press

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Understanding the dynamic evolution of the yield curve is critical to many financial tasks, including pricing financial assets and their derivatives, managing f