Estimating the Term Structure of Interest Rates PDF Download

Author: Mark Deacon
Publisher:
ISBN: 9781857300826
Category : Interest rates
Languages : en
Pages : 71

View

Book Description

Author: Rajna Gibson
Publisher: Now Publishers Inc
ISBN: 1601983727
Category : Business & Economics
Languages : en
Pages : 171

View

Book Description
Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives.

Author: Nicola Anderson
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 248

View

Book Description
A yield curve is a graph indicating the term structure of interest rates by plotting the yields of all bonds of the same quality. This book provides a thorough analysis of estimation techniques and a survey of yield curve interpretation. On the former it is the most advanced book in its field, on the latter it provides an introduction to more specialised texts. It also provides important insight into the latest thinking on these techniques at the Bank of England.

Author: Damir Filipovic
Publisher: Springer Science & Business Media
ISBN: 3540680152
Category : Mathematics
Languages : en
Pages : 259

View

Book Description
Changing interest rates constitute one of the major risk sources for banks, insurance companies, and other financial institutions. Modeling the term-structure movements of interest rates is a challenging task. This volume gives an introduction to the mathematics of term-structure models in continuous time. It includes practical aspects for fixed-income markets such as day-count conventions, duration of coupon-paying bonds and yield curve construction; arbitrage theory; short-rate models; the Heath-Jarrow-Morton methodology; consistent term-structure parametrizations; affine diffusion processes and option pricing with Fourier transform; LIBOR market models; and credit risk. The focus is on a mathematically straightforward but rigorous development of the theory. Students, researchers and practitioners will find this volume very useful. Each chapter ends with a set of exercises, that provides source for homework and exam questions. Readers are expected to be familiar with elementary Itô calculus, basic probability theory, and real and complex analysis.

Author: David Meiselman
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 96

View

Book Description

Author: Mr.Lars E. O. Svensson
Publisher: International Monetary Fund
ISBN: 1451853750
Category : Business & Economics
Languages : en
Pages : 76

View

Book Description
The use of forward interest rates as a monetary policy indicator is demonstrated, using Sweden 1992-1994 as an example. The forward rates are interpreted as indicating market expectations of the time-path of future interest rates, future inflation rates, and future currency depreciation rates. They separate market expectations for the short-, medium-, and long-term more easily than the standard yield curve. Forward rates are estimated with an extended and more flexible version of Nelson and Siegel’s functional form.

Author: Burton Gordon Malkiel
Publisher: Princeton University Press
ISBN: 1400879787
Category : Business & Economics
Languages : en
Pages : 294

View

Book Description
Can expectations alone explain the yield differentials among bonds of different maturities? To what extend do attitudes toward risk and transactions costs influence the behavior of bond investors? Is it possible for the Federal Reserve to "twist" the interest-rate structure in accordance with its policy objectives? These are among the questions treated. Originally published in 1966. The Princeton Legacy Library uses the latest print-on-demand technology to again make available previously out-of-print books from the distinguished backlist of Princeton University Press. These editions preserve the original texts of these important books while presenting them in durable paperback and hardcover editions. The goal of the Princeton Legacy Library is to vastly increase access to the rich scholarly heritage found in the thousands of books published by Princeton University Press since its founding in 1905.

Author:
Publisher: Lulu.com
ISBN: 9291316695
Category : Bank capital
Languages : en
Pages : 294

View

Book Description

Author: Emanuel Kopp
Publisher: International Monetary Fund
ISBN: 1484363671
Category : Business & Economics
Languages : en
Pages : 22

View

Book Description
In recent years, term premia have been very low and sometimes even negative. Now, with the United States economy growing above potential, inflationary pressures are on the rise. Term premia are very sensitive to the expected future path of growth, inflation, and monetary policy, and an inflation surprise could require monetary policy to tighten faster than anticipated, inducing to a sudden decompression of term and other risk premia, thus tightening financial conditions. This paper proposes a semi-structural dynamic term structure model augmented with macroeconomic factors to include cyclical dynamics with a focus on medium- to long-run forecasts. Our results clearly show that a macroeconomic approach is warranted: While term premium estimates are in line with those from other studies, we provide (i) plausible, stable estimates of expected long-term interest rates and (ii) forecasts of short- and long-term interest rates as well as cyclical macroeconomic variables that are stunningly close to those generated from large-scale macroeconomic models.

Author: M. Choudhry
Publisher: Springer
ISBN: 0230279384
Category : Business & Economics
Languages : en
Pages : 566

View

Book Description
Revised and updated guide to some of the most important issues in the capital markets today, with an emphasis on fixed-income instruments. Fundamental concepts in equity market analysis, foreign exchange and money markets are also covered to provide a comprehensive overview. Analysis and valuation techniques are given for practical application.