The Information Content of the Short End of the Term Structure of Interest Rates PDF Download

Author: Marco Rossi
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 64

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Author: Frank Browne
Publisher: [Paris, France] : OECD, Department of Economics and Statistics
ISBN:
Category : Inflation (Finance)
Languages : en
Pages : 40

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

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

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

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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: Christian L. Dunis
Publisher: John Wiley & Sons
ISBN: 0470871342
Category : Business & Economics
Languages : en
Pages : 426

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This book provides a manual on quantitative financial analysis. Focusing on advanced methods for modelling financial markets in the context of practical financial applications, it will cover data, software and techniques that will enable the reader to implement and interpret quantitative methodologies, specifically for trading and investment. Includes contributions from an international team of academics and quantitative asset managers from Morgan Stanley, Barclays Global Investors, ABN AMRO and Credit Suisse First Boston. Fills the gap for a book on applied quantitative investment & trading models Provides details of how to combine various models to manage and trade a portfolio

Author: V.K.Bhalla
Publisher: S. Chand Publishing
ISBN: 9788121912488
Category : Business & Economics
Languages : en
Pages : 1112

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Book Description
SECURITY ANALYSIS AND PORTFOLIO MANAGEMENT. This 5th Edition , is thoroughly revised and updated. It describes techniques, vehicles, and strategies of the funds of an individual investor(s).For the students of Management, Commerce, Professional Course of CA, CS, ICWA, Professional of Financial Institutions and Policy Makers.

Author: V.K.Bhalla
Publisher: S. Chand Publishing
ISBN: 9788121927024
Category : Business & Economics
Languages : en
Pages : 452

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Book Description
For the students of Management, Commerce, Professional Course of CA, CS, ICWA and Professionals of Financial Institutions. • Thirteen chapters on current major areas have been added to provide exhaustive coverage on recent changes in the world financial markets and the changing compositions of the portfolios.

Author: J.M. Berk
Publisher: Springer Science & Business Media
ISBN: 1475734050
Category : Business & Economics
Languages : en
Pages : 157

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Book Description
Standard macroeconomic monographs often discuss the mechanism of monetary transmission, usually ending by highlighting the complexities and uncertainties involved in this mechanism. Conversely, The Preparation of Monetary Policy takes these uncertainties as a starting point, analytically investigating their nature and spelling out their consequences for the monetary policy maker. The second innovative aspect of this book is its focus on policy preparation instead of well-covered topics such as monetary policy strategy, tactics, and implementation. Thirdly, a general, multi-model framework for preparing monetary policy is proposed, which is illustrated by case studies stressing the role of international economic linkages and of expectations. Written in a self-contained fashion, these case studies are of interest by themselves. The book is written for an audience that is interested in the art and science of monetary policy making, which includes central bankers, academics, and (graduate) students in the field of monetary economics, macroeconomics, international economics and finance.

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

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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.